Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239187 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 5 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
art index
repeated sales
correlation
JEL: 
C14
C43
Z11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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