Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103756
Authors: 
Kräussl, Roman
Lehnert, Thorsten
Martelin, Nicolas
Year of Publication: 
2014
Series/Report no.: 
CFS Working Paper Series 493
Abstract: 
The record-breaking prices observed in the art market over the last three years raise the question of 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 four different art market segments ("Impressionist and Modern", "Post-war and Contemporary", "American", and "Latin American") for the period from 1970 to 2013. We identify two historical speculative bubbles and find an explosive movement in today's "Post-war and Contemporary" and "American" fine art market segments.
Subjects: 
Art market
Alternative investments
Speculative bubbles
Explosive behavior
JEL: 
G12
G14
Z11
Document Type: 
Working Paper

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