Monthly Art Market Returns

Fabian Bocart, Eric Ghysels and Christian Hafner
Additional contact information
Fabian Bocart: Artnet, NY 10279-2600, USA
Eric Ghysels: Gardner Hall University of North Carolina, USA

No 2020030, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

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)
Date: 2020-05-19
Note: In: Journal of Risk and Financial Management - Vol. 13, no.5, p. 100 (2020)
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Monthly Art Market Returns (2020)
Working Paper: Monthly art market returns (2018)
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:aiz:louvar:2020030

DOI: 10.3390/jrfm13050100

Access Statistics for this paper

More papers in LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().