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Monthly art market returns

Author

Listed:
  • BOCART Fabian Y.R.P.,

    (Artnet, New York)

  • GHYSELS Eric,

    (Kenan-Flager Business School)

  • HAFNER Christian,

    (ISBA and CORE, Université catholique de Louvain)

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 from 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 Y.R.P., & GHYSELS Eric, & HAFNER Christian,, 2018. "Monthly art market returns," LIDAM Discussion Papers CORE 2018028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2018028
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    References listed on IDEAS

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    Cited by:

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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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