This paper proposes an alternative specification for the second stage of the Case-Shiller repeat sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method...

Institutional investors invest billions of dollars on behalf of investors whilst knowing little about investors' social values. Using survey data from a customized wave of the Dutch CentERdata panel for citizens who are obliged to participate in a pension plan, we find significant variation in...

The poor performance of traditional asset classes in recent years has driven the search for greater investment into alternative asset classes. The desire to reap higher risk adjusted returns from diversification into assets which offer low and even negative correlation with equities and bonds...

It is widely known that the small but looming possibility of default renders the expected return distribution for financial products containing credit risk to be highly skewed and fat tailed. In this paper, we apply recent techniques developed for incorporating the additional risk faced by...

It is widely known that the small but looming possibility of defaultrenders the expected return distribution for financial productscontaining credit risk to be highly skewed and fat tailed. In thispaper we apply recent techniques developed for incorporating theadditional risk faced by changes in...

In this paper we investigate the importance of acquaintance networks for financial decisions by households. We construct a variable capturing the expected proximity or social closeness to a subpopulation of financially savvy people using an overdispersed Poisson model. This measure captures the...

Using an exclusive data set consisting of the population of fine art auctions from 2000 to 2017 for Western artists, with over 2.6 million auction sales, we provide strong empirical evidence of a glass ceiling for female artists. First, we show that female artists are less likely to transition...

We apply network theory to study auction outcomes in the fine art market. Using a unique historical data set, of London-based art auctions that took place between 1741 and 1913, we investigate the drivers of strategic network formation between dealers (buyers) and sellers and the effect of...

Using a unique historical data set, we show the value of expertise and reputation during the evolution of the art market. First, we illustrate how market dynamics encourage the entry of dealers with heterogeneous characteristics. Second, our results provide evidence that relatively larger...