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 InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 13-011.
Length: 7 p.
Date of creation: 11 Feb 2013
Date of revision:
Publication status: Published by:
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More information through EDIRC
Art Market; Market Efficiency; Auction; Random Walk; Reserve Price;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature
- 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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