Art Market Momentum : An Analysis on Living Artists

If a hypothetical investor diversifies her portfolio by investing in an index based upon the contemporary art market, has she invested in an efficient market or not? I investigate the presence of time series momentum in the market of contemporary living artists by considering a different approach which follows a pure investment purpose : I set up an art market index based on five highly rated living artists and test for time series predictability and examine the profitability of two different trading strategies : speculative and passive