User menu

Accès à distance ? S'identifier sur le proxy UCLouvain | Saint-Louis

Monthly Art Market Returns

Primary tabs

download
  • Open access
  • PDF
  • 2.21 M
Bocart, Fabian Ghysels, Eric Hafner, Christian [UCL]

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.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès libre
Publication date 2020
Language Anglais
Journal information "Journal of Risk and Financial Management" - Vol. 13, no.5, p. 100 (2020)
Peer reviewed yes
Publisher MDPI AG
issn 1911-8066
e-issn 1911-8074
Publication status Publié
Affiliations UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
Links
Bibliographic reference Bocart, Fabian ; Ghysels, Eric ; Hafner, Christian. Monthly Art Market Returns. In: Journal of Risk and Financial Management, Vol. 13, no.5, p. 100 (2020)
Permanent URL http://hdl.handle.net/2078.1/238816