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Is there a bubble in the art market?

Author

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  • Kräussl, Roman
  • Lehnert, Thorsten
  • Martelin, Nicolas

Abstract

The record-breaking prices observed in the art market over the last three years raise the question of whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive regressions (SADF test) to detect explosive behaviors directly in the time series of four different art market segments ("Impressionist and Modern", "Post-war and Contemporary", "American", and "Latin American") for the period from 1970 to 2013. We identify two historical speculative bubbles and find an explosive movement in today's "Post-war and Contemporary" and "American" fine art market segments.

Suggested Citation

  • Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2014. "Is there a bubble in the art market?," CFS Working Paper Series 493, Center for Financial Studies (CFS).
    • Handle: RePEc:zbw:cfswop:493
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Art market; Alternative investments; Speculative bubbles; Explosive behavior;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • 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

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