Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable
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.
|Date of creation:||Apr 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 44-20- 76316429
Fax: 44-20- 76316416
Web page: http://www.ems.bbk.ac.uk/
|Order Information:|| Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Abel, Andrew B., 1988.
"Stock prices under time-varying dividend risk : An exact solution in an infinite-horizon general equilibrium model,"
Journal of Monetary Economics,
Elsevier, vol. 22(3), pages 375-393.
- Andrew B. Abel, 1988. "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model," NBER Working Papers 2621, National Bureau of Economic Research, Inc.
- Andrew Abel, . "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model," Rodney L. White Center for Financial Research Working Papers 15-88, Wharton School Rodney L. White Center for Financial Research.
- Susanne Schönfeld & Andreas Reinstaller, 2007. "The effects of gallery and artist reputation on prices in the primary market for art: a note," Journal of Cultural Economics, Springer, vol. 31(2), pages 143-153, June.
- Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
- Joseph P. Byrne & Jun Nagayasu, 2008.
"Common and idiosyncratic factors of the exchange risk premium in emerging European markets,"
2008_28, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Nagayasu, Jun, 2008. "Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets," SIRE Discussion Papers 2008-49, Scottish Institute for Research in Economics (SIRE).
- Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
- Nicholas Barberis & Ming Huang & Tano Santos, 1999.
"Prospect Theory and Asset Prices,"
NBER Working Papers
7220, National Bureau of Economic Research, Inc.
- Nicholas Barberis & Ming Huang & Tano Santos, . "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Nicholas BARBERIS & Ming HUANG & Tano SANTOS, 2000. "Prospect Theory and Asset Prices," FAME Research Paper Series rp16, International Center for Financial Asset Management and Engineering.
- Holger Bonus & Dieter Ronte, 1997. "Credibility and Economic Value in the Visual Arts," Journal of Cultural Economics, Springer, vol. 21(2), pages 103-118, June.
- G. Candela & A. Scorcu, 1997. "A Price Index for Art Market Auctions," Journal of Cultural Economics, Springer, vol. 21(3), pages 175-196, September.
- Evans, Martin D. D. & Lewis, Karen K., 1994.
"Do stationary risk premia explain it all?: Evidence from the term structure,"
Journal of Monetary Economics,
Elsevier, vol. 33(2), pages 285-318, April.
- Martin D. Evans & Karen K. Lewis, 1992. "Do Stationary Risk Premia Explain It All? Evidence from the Term Structure," Working Papers 92-11, New York University, Leonard N. Stern School of Business, Department of Economics.
- Stein, John Picard, 1977. "The Monetary Appreciation of Paintings," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 1021-35, October.
- Bruno Frey, 1997. "Art Markets and Economics: Introduction," Journal of Cultural Economics, Springer, vol. 21(3), pages 165-173, September.
- Baillie, R.T. & Bollerslev, T., 1993.
"The Long Memory of the Foreward Premium,"
9203, Michigan State - Econometrics and Economic Theory.
- Adler, Moshe, 1985. "Stardom and Talent," American Economic Review, American Economic Association, vol. 75(1), pages 208-12, March.
- Blanchard, Olivier Jean, 1979. "Speculative bubbles, crashes and rational expectations," Economics Letters, Elsevier, vol. 3(4), pages 387-389.
- Stigler, George J & Becker, Gary S, 1977. "De Gustibus Non Est Disputandum," American Economic Review, American Economic Association, vol. 67(2), pages 76-90, March.
- David Throsby, 2003. "Determining the Value of Cultural Goods: How Much (or How Little) Does Contingent Valuation Tell Us?," Journal of Cultural Economics, Springer, vol. 27(3), pages 275-285, November.
- Baumol, William J, 1986. "Unnatural Value: Or Art Investment as Floating Crap Game," American Economic Review, American Economic Association, vol. 76(2), pages 10-14, May.
- Mordecai Kurz & Maurizio Motolese, 2007.
"Diverse Beliefs and Time Variability of Risk Premia,"
06-044, Stanford Institute for Economic Policy Research.
- Mordecai Kurz & Maurizio Motolese, 2011. "Diverse beliefs and time variability of risk premia," Economic Theory, Springer, vol. 47(2), pages 293-335, June.
- Ahn, Tom & Sandford, Jeremy & Shea, Paul, 2014. "A Note On Bubbles, Worthless Assets, And The Curious Case Of General Motors," Macroeconomic Dynamics, Cambridge University Press, vol. 18(01), pages 244-254, January.
- Leslie Singer & Gary Lynch, 1997. "Are Multiple Art Markets Rational?," Journal of Cultural Economics, Springer, vol. 21(3), pages 197-218, September.
- Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
- Yuichi Fukuta, 2002. "A test for rational bubbles in stock prices," Empirical Economics, Springer, vol. 27(4), pages 587-600.
- Bradford Case & Henry O. Pollakowski & Susan M. Wachter, 1991. "On Choosing Among House Price Index Methodologies," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 286-307.
- Perron, Pierre, 1988.
"Trends and random walks in macroeconomic time series : Further evidence from a new approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 12(2-3), pages 297-332.
- Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
- Chanel, O. & Gerard-Varet, L.A. & Ginsburgh, V., 1990. "Is Art Such A Bad Investment?," G.R.E.Q.A.M. 90b03, Universite Aix-Marseille III.
- Zanola, Roberto, 2007. "The Dynamics of Art Prices: The Selection Corrected Repeat-Sales Index," POLIS Working Papers 76, Institute of Public Policy and Public Choice - POLIS.
- Andrea Carriero, 2006. "Explaining US-UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 879-899, December.
- Eurostat, 2013. "Handbook on Residential Property Prices Indices," World Bank Publications, The World Bank, number 17280.
- Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December.
- Gatzlaff, Dean H & Haurin, Donald R, 1997. "Sample Selection Bias and Repeat-Sales Index Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 33-50, Jan.-Marc.
- Case, Bradford & Pollakowski, Henry O & Wachter, Susan M, 1997. "Frequency of Transaction and House Price Modeling," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 173-87, Jan.-Marc.
- Corbae, Dean & Lim, Kian-Guan & Ouliaris, Sam, 1992. "On Cointegration and Tests of Forward Market Unbiasedness," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 728-32, November.
- Meese, Richard A & Singleton, Kenneth J, 1982. " On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-35, September.
When requesting a correction, please mention this item's handle: RePEc:bbk:bbkefp:1209. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.