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Monthly Art Market Returns

Author

Listed:
  • Bocart, Fabian

    (Artnet, NY 10279-2600, USA)

  • Ghysels, Eric

    (Gardner Hall University of North Carolina, USA)

  • Hafner, Christian

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

Abstract

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.

Suggested Citation

  • Bocart, Fabian & Ghysels, Eric & Hafner, Christian, 2020. "Monthly Art Market Returns," LIDAM Reprints ISBA 2020030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2020030
    DOI: https://doi.org/10.3390/jrfm13050100
    Note: In: Journal of Risk and Financial Management - Vol. 13, no.5, p. 100 (2020)
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    References listed on IDEAS

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    2. Lin, Min-Bin & Wang, Bingling & Bocart, Fabian Y.R.P. & Hafner, Christian M. & Härdle, Wolfgang K., 2022. "DAI Digital Art Index : a robust price index for heterogeneous digital assets," LIDAM Discussion Papers ISBA 2022036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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    More about this item

    Keywords

    art index; repeated sales; correlation;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature

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