EconPapers    
Economics at your fingertips  
 

Monthly Art Market Returns

Fabian Y.R.P. Bocart (), Eric Ghysels () and Christian Hafner ()
Additional contact information
Fabian Y.R.P. Bocart: Artnet, 233 Broadway, 26th Floor, New York, NY 10279-2600, USA
Eric Ghysels: Department of Economics, Gardner Hall University of North Carolina, Chapel Hill, NC 27514, USA

Journal of Risk and Financial Management, 2020, vol. 13, issue 5, 1-22

Abstract: We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other markets, typically with higher liquidity and high frequency trading. Using the new econometric approach, we propose a monthly art market index, as well as sub-indices for impressionist, modern, post-war, and contemporary paintings based on repeated sales at a monthly frequency. The correlations enable us to update the art index via observed transactions in other markets that have a link with the art market.

Keywords: art index; repeated sales; correlation (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/1911-8074/13/5/100/pdf (application/pdf)
https://www.mdpi.com/1911-8074/13/5/100/ (text/html)

Related works:
Working Paper: Monthly Art Market Returns (2020)
Working Paper: Monthly art market returns (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:100-:d:360049

Access Statistics for this article

Journal of Risk and Financial Management is currently edited by Prof. Dr. Michael McAleer

More articles in Journal of Risk and Financial Management from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

 
Page updated 2021-08-31
Handle: RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:100-:d:360049