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Bubbles & Bought-Ins: Reevaluating Price Movements in the Art Market
Date: 2020-01-01
Creator: Silas Wuerth
Access: Open access
- Employs two tests for bubbles in the art market. First, a right-hand forward recursive augmented Dickey-Fuller test to identify explosive price movements. Second, a test for the statistical significance of hedonic regression price index coefficients after controlling for equity market performance. Finds strong evidence for a speculative bubble in the pre-Great Recession "Post-War & Contemporary" market. Evidence for this bubble diminishes but does not dissipate after accounting for the effect of failed sales on index returns.