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Monthly Art Market Returns

Artnet, 233 Broadway, 26th Floor, New York, NY 10279-2600, USA
Department of Economics, Gardner Hall University of North Carolina, Chapel Hill, NC 27514, USA
Department of Finance, Kenan-Flagler Business School, Chapel Hill, NC 27599, USA
Louvain Institute of Data Analysis in economics and statistics, ISBA, Université catholique de Louvain, Voie du Roman Pays 20, 1348 Louvain-la-Neuve, Belgium
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2020, 13(5), 100;
Received: 10 April 2020 / Revised: 11 May 2020 / Accepted: 13 May 2020 / Published: 19 May 2020
(This article belongs to the Special Issue Financial Econometrics II)
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.
Keywords: art index; repeated sales; correlation art index; repeated sales; correlation
MDPI and ACS Style

Bocart, F.Y.; Ghysels, E.; Hafner, C.M. Monthly Art Market Returns. J. Risk Financial Manag. 2020, 13, 100.

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