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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
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Working Paper: Monthly Art Market Returns (2020)
Working Paper: Monthly art market returns (2018) Downloads
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