Is there a bubble in the art market?

Roman Kräussl, Thorsten Lehnert and Nicolas Martelin

Journal of Empirical Finance, 2016, vol. 35, issue C, 99-109

Abstract: The record-breaking prices observed in the art market over the last 5years raise the question of whether it is an ongoing boom or whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive regressions (SADF test) to detect explosive behaviors directly in the time series of six different art market segments for the period from 1970 to 2014. We identify two historical speculative bubbles and find an explosive movement in today's “Impressionist and Modern”, “Post-war and Contemporary”, “American”, and “Old Masters” fine art market segments.

Keywords: Art market; Alternative investments; Art index; Bubble; Explosive behavior (search for similar items in EconPapers)
JEL-codes: G12 G14 Z11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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Related works:
Working Paper: Is there a Bubble in the Art Market? (2014)
Working Paper: Is there a bubble in the art market? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:35:y:2016:i:c:p:99-109

DOI: 10.1016/j.jempfin.2015.10.010

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