On the Efficiency of Art Markets. Evidence on return rates from old master paintings to contemporary art

Federico Etro () and Elena Stepanova

Working Papers - Economics from Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

Abstract: Return rates should not depend systematically on past prices or the place of sale in efficient art markets. We provide evidence consistent with such hypothesis from repeated sales of Old Master Paintings, Modern art and Contemporary art auctioned worldwide at Christie's and Sotheby's in 2000-2018. We also control for changes in transaction costs (buyers' premiums and artists' resale rights), characteristics of the sale (evening sales, price guarantees and past bought-ins) and news on the lots (changed attributions, public exhibitions or death of the author) that appear reflected in art returns. We confirm the absence of masterpiece effects in American, Chinese and Ethnic art. Finally, using historical data on prices during Renaissance, Baroque and Neoclassical periods, we find evidence that price changes are independent from initial prices also in the long run.

Keywords: Art market; Mei-Moses index; Market efficiency; Law of one price; Masterpiece effect; Contemporary art (search for similar items in EconPapers)
JEL-codes: C23 Z11 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2019
New Economics Papers: this item is included in nep-cul
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Citations: View citations in EconPapers (3)

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