Art market inefficiency

descriptionPublicationkeyboard_double_arrow_right Article , Research , Preprint , Report 01 Oct 2013 Belgium English Publisher:Elsevier BVJournal:Economics Letters, volume 121, pages 23-25 (issn: 0165-1765,

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Authors: David, Geraldine; Oosterlinck, Kim; Szafarz, Ariane;

doi: 10.1016/j.econlet.2013.06.033

handle: 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/145737 , 2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/140325

Art market inefficiency

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Abstract

Art is often used as an investment vehicle. Given the importance of market efficiency in finance, we use a large auction-based index to test whether the art market is weakly efficient. Evidence reveals that returns on artworks exhibit high positive auto-correlation. We attribute this result to price truncation resulting from unobservable reserve prices in auctions. We conclude that the art market is not efficient, mainly because price formation is opaque to outsiders who lack information on unsold artworks.

Country

Belgium

Related Organizations

Université Libre de Bruxelles
Belgium
Tilburg University
Netherlands

Keywords

Information and Market Efficiency, Expectations; Speculations, Trading volume, Sciences sociales, Speculations, G12, Event Studies, Bond Interest Rates, Auctions, G14, Reserve Price, Art Market; Market Efficiency; Auction; Random Walk; Reserve Price, Cultural Economics: Economics of the Arts and Literature, Expectations, Auction, Asset Pricing, Asset Pricing; Trading volume; Bond Interest Rates, D84, Z11, Random Walk, Economie, Art Market, Information and Market Efficiency; Event Studies, Market Efficiency, Economics of the Arts and Literature [Cultural Economics], D44, jel: jel:Z11, jel: jel:D84, jel: jel:D44, jel: jel:G12, jel: jel:G14

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