Monthly art market returns

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 fr...

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Veröffentlicht in:Journal of risk and financial management 2020-05, Vol.13 (5), p.1-22
Hauptverfasser: Bocart, Fabian Y. R. P, Ghysels, Eric, Hafner, Christian M
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container_title Journal of risk and financial management
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creator Bocart, Fabian Y. R. P
Ghysels, Eric
Hafner, Christian M
description 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.
doi_str_mv 10.3390/jrfm13050100
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source MDPI - Multidisciplinary Digital Publishing Institute; EZB-FREE-00999 freely available EZB journals
subjects Art as an investment
art index
correlation
Finance
Measurement
repeated sales
Return on investment
title Monthly art market returns
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