Art market inefficiency
AbstractArt is often used as an investment vehicle. Given the importance of market efficiency in finance, we use a large auction-based index to test whether the art market is weakly efficient. Evidence reveals that returns on artworks exhibit high positive auto-correlation. We attribute this result to price truncation resulting from unobservable reserve prices in auctions. We conclude that the art market is not efficient, mainly because price formation is opaque to outsiders who lack information on unsold artworks.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 121 (2013)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Art market; Market efficiency; Auction; Random walk; Reserve price;
Other versions of this item:
- Geraldine David & Kim Oosterlinck & Ariane Szafarz, 2013. "Art Market Inefficiency," Working Papers CEB 13-011, ULB -- Universite Libre de Bruxelles.
- Geraldine David & Kim Oosterlinck & Ariane Szafarz, 2013. "Art Market Inefficiency," ULB Institutional Repository 2013/145737, ULB -- Universite Libre de Bruxelles.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Z1 - Other Special Topics - - Cultural Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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