Art and Money

William Goetzmann, Luc Renneboog and Christophe Spaenjers

Yale School of Management Working Papers from Yale School of Management

Abstract: This paper investigates the impact of equity markets and top incomes on art prices. Using a long-term art market index that incorporates information on repeated sales since the eighteenth century, we demonstrate that both same-year and lagged equity market returns have a significant impact on the price level in the art market. Over a shorter time frame, we also find empirical evidence that an increase in income inequality may lead to higher prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration tests strongly suggest the existence of a long-term relation between top incomes and art prices.

Keywords: Art investments; Cointegration; Comovement; Equities; Income inequality; Long-term returns (search for similar items in EconPapers)
Date: 2009-11-01, Revised 2010-01-01
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https://repec.som.yale.edu/icfpub/publications/2426.pdf (application/pdf)

Related works:
Journal Article: Art and Money (2011)
Working Paper: Art and Money (2011)
Working Paper: Art and Money (2010)
Working Paper: Art and Money (2010)
Working Paper: Art and Money (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:wpaper:amz2426

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