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Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable

  • Nandini Srivastava

    (Christ's College, University of Cambridge)

  • Stephen Satchell

    (Department of Economics, Mathematics & Statistics, Birkbeck
    University of Sydney)

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    The purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices as deviations from fair value. We assess whether it is meaningful to define a fair value of art and conclude that it is very challenging empirically to implement any definition. We then treat fair value as zero in one instance and unobservable in the other case and in both cases provide evidence of bubbles in the art market.

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    File URL: http://www.bbk.ac.uk/ems/research/wp/2012/PDFs/BWPEF1209.pdf
    File Function: First version, 2012
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    Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 1209.

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    Date of creation: Apr 2012
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    Handle: RePEc:bbk:bbkefp:1209
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