Monthly art market returns

Fabian Y.R.P. Bocart, Eric Ghysels and Christian M. Hafner

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.

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Year of publication:	2020
Authors:	Bocart, Fabian Y. R. P. ; Ghysels, Eric ; Hafner, Christian M.
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 5/100, p. 1-22
Subject:	art index \| repeated sales \| correlation \| Kunst \| Arts \| Kunsthandel \| Art trade \| Kapitaleinkommen \| Capital income \| Kunstwerk \| Work of art \| Korrelation \| Correlation \| Preisindex \| Price index \| Indexberechnung \| Index construction \| Kulturökonomik \| Cultural economics \| Index \| Index number

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/jrfm13050100 [DOI] hdl:10419/239187 [Handle]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C43 - Index Numbers and Aggregation ; Z11 - Economics of the Arts and Literature
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012304909