Monthly art market returns
BOCART Fabian Y.R.P.,,
Eric, Ghysels and
Christian Hafner
Additional contact information
BOCART Fabian Y.R.P.,: Artnet, New York
Eric, Ghysels: Kenan-Flager Business School
No 2018028, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
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 from 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: C14 C43 Z11 (search for similar items in EconPapers)
Date: 2018-09-10
New Economics Papers: this item is included in nep-cul and nep-ets
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https://sites.uclouvain.be/core/publications/coredp/coredp2018.html (application/pdf)
Related works:
Journal Article: Monthly Art Market Returns (2020)
Working Paper: Monthly Art Market Returns (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2018028
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