Showing 1 - 10 of 26,972
This paper shows the importance of correcting for sample selection when investing in illiquid assets with endogenous trading. Using a large sample of 20,538 paintings that were sold repeatedly at auction between 1972 and 2010, we find that paintings with higher price appreciation are more likely...
Persistent link: https://www.econbiz.de/10010201316
Measuring the psychic return of art investments is a debated issue in Cultural economics. Several works suggest Jensen's alpha as a measure of the psychic return. Since the Jensen's alpha is defined in the CAPM framework, its uncritical application as a measure of the psychic return may be...
Persistent link: https://www.econbiz.de/10012857226
We hypothesize the existence of a slow-moving fad component in art prices. Using unique panel survey data on art market participants' confidence levels in the outlook for a set of artists, we find that sentiment indeed predicts short-term returns
Persistent link: https://www.econbiz.de/10012856820
Persistent link: https://www.econbiz.de/10010228857
-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprical … hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and … European investment funds, even though optimal hedging strategies could without incurring substantial trading costs. …
Persistent link: https://www.econbiz.de/10015168533
investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10003947461
There are three fundamental ways of testing the validity of an investment algorithm against historical evidence: a) the walk-forward method; b) the resampling method; and c) the Monte Carlo method. By far the most common approach followed among academics and practitioners is the walk-forward...
Persistent link: https://www.econbiz.de/10012862212
We study price determinants and investment performance of art based on a vast sample of transactions around the world over the past 60 years. Art has appreciated at a real (nominal) annual return of 2.49% (6.24%). Higher art returns are reached for paintings at high-end of the price...
Persistent link: https://www.econbiz.de/10013218673
This paper applies the Johansen Cointegration procedure to test the law of one price (LOOP) for twelve international markets of paintings using semi-annual data for the period 1985-2007. Cointegration test is performed in a pairwise arrangement. Price index for each market is estimated using the...
Persistent link: https://www.econbiz.de/10009746037
Due to the constantly growing interest in alternative investments, the art market has become the subject of numerous studies. By publishing sales data, many services and auction houses provide a foundation for further research on the latest trends. Determining the definition of the artistic...
Persistent link: https://www.econbiz.de/10011539772