Monthly Art Market Returns
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 fr...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-05-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/13/5/100 |
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doaj-2e6a5876ab90480c8ebbe673adc2af4c2020-11-25T02:18:25ZengMDPI AGJournal of Risk and Financial Management1911-80661911-80742020-05-011310010010.3390/jrfm13050100Monthly Art Market ReturnsFabian Y.R.P. Bocart0Eric Ghysels1Christian M. Hafner2Artnet, 233 Broadway, 26th Floor, New York, NY 10279-2600, USADepartment of Economics, Gardner Hall University of North Carolina, Chapel Hill, NC 27514, USALouvain Institute of Data Analysis in economics and statistics, ISBA, Université catholique de Louvain, Voie du Roman Pays 20, 1348 Louvain-la-Neuve, BelgiumWe 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.https://www.mdpi.com/1911-8074/13/5/100art indexrepeated salescorrelation |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Fabian Y.R.P. Bocart Eric Ghysels Christian M. Hafner |
| spellingShingle |
Fabian Y.R.P. Bocart Eric Ghysels Christian M. Hafner Monthly Art Market Returns Journal of Risk and Financial Management art index repeated sales correlation |
| author_facet |
Fabian Y.R.P. Bocart Eric Ghysels Christian M. Hafner |
| author_sort |
Fabian Y.R.P. Bocart |
| title |
Monthly Art Market Returns |
| title_short |
Monthly Art Market Returns |
| title_full |
Monthly Art Market Returns |
| title_fullStr |
Monthly Art Market Returns |
| title_full_unstemmed |
Monthly Art Market Returns |
| title_sort |
monthly art market returns |
| publisher |
MDPI AG |
| series |
Journal of Risk and Financial Management |
| issn |
1911-8066 1911-8074 |
| publishDate |
2020-05-01 |
| description |
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. |
| topic |
art index repeated sales correlation |
| url |
https://www.mdpi.com/1911-8074/13/5/100 |
| work_keys_str_mv |
AT fabianyrpbocart monthlyartmarketreturns AT ericghysels monthlyartmarketreturns AT christianmhafner monthlyartmarketreturns |
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