Is there a bubble in the art market?
- 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.
Author: | Roman KräusslORCiDGND, Thorsten Lehnert, Nicolas Martelin |
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URN: | urn:nbn:de:hebis:30:3-355818 |
URL: | https://www.ifk-cfs.de/fileadmin/downloads/publications/wp/2014/CFS_WP_493.pdf |
Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 493 |
Series (Serial Number): | CFS working paper series (493) |
Publisher: | Center for Financial Studies |
Place of publication: | Frankfurt, M. |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2014 |
Year of first Publication: | 2014 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2014/11/25 |
Tag: | Alternative investments; Art market; Explosive behavior; Speculative bubbles |
Issue: | May 2014 |
Page Number: | 29 |
HeBIS-PPN: | 351114300 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |