Srivastava, N. and Satchell, Stephen E. (2012) Are there bubbles in the art market? The detection of bubbles when fair value is unobservable. Working Paper. Birkbeck College, University of London, London, UK.
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Abstract
The purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices as deviations from fair value. We assess whether it is meaningful to define a fair value of art and conclude that it is very challenging empirically to implement any definition. We then treat fair value as zero in one instance and unobservable in the other case and in both cases provide evidence of bubbles in the art market.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keyword(s) / Subject(s): | Bubbles, Asset prices, Steady state, Non-linear time series, TAR models, Art markets |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 11 Jan 2013 11:56 |
| Last Modified: | 02 Aug 2023 17:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/5950 |
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