Is there a bubble in the art market?

被引：39
|
作者：
Kraeussl, Roman [1 ]
Lehnert, Thorsten [1 ]
Martelin, Nicolas [1 ]
机构：
[1] Univ Luxembourg, Luxembourg Sch Finance, Luxembourg, Luxembourg
来源：
JOURNAL OF EMPIRICAL FINANCE | 2016年 / 35卷
关键词：
Art market; Alternative investments; Art index; Bubble; Explosive behavior; PRICES; TESTS;
D O I：
10.1016/j.jempfin.2015.10.010
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The record-breaking prices observed in the art market over the last 5 years raise the question of whether it is an ongoing boom or 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 six different art market segments for the period from 1970 to 2014. We identify two historical speculative bubbles and find an explosive movement in today's "Impressionist and Modern", "Post-war and Contemporary", "American", and "Old Masters" fine art market segments. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：99 / 109
页数：11
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