In this paper, we compute residual variance of art prices to examine asset pricing in contemporary art market. Our empirical work shows a few interesting results. First, we discover that the residual variance is significantly and positively related to the average price level achieved by an...

This paper contains a new review of the research of the last decade that has been designed to shed light on how the art auction system works, what it indicates about price formation, and how well it performs. We begin with a short description of the mechanics of the auction system and then...

We empirically analyze the determinants of Initial Public Offering (IPO) underpricing using panel data for 29 countries over the period 1988-2005. Our hypotheses stress the importance of institutional and legal factors in explaining cross-country variations. We find that increased protection of...

The paper analyses the effect of equity price shocks on current account positions for the G7 industrialized countries in 1974-2007. It uses a Bayesian VAR with sign restrictions for the identification of asset price shocks and to test empirically for their effect on current accounts. Such shocks...

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...