文章基本信息

标题：Investigating Art Market Efficiency
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作者：Anca Munteanu ; Anca Munteanu ; Andreea Pece 等
期刊名称：Procedia - Social and Behavioral Sciences
印刷版ISSN：1877-0428
出版年度：2015
卷号：188
页码：82-88
DOI：10.1016/j.sbspro.2015.03.341
语种：English
出版社：Elsevier
摘要：AbstractThis paper adds to the stream of research dealing with the art work by investigating the returns obtained by auction houses. We are interested in testing the market efficiency of the most influential auction house as a signal for art market robustness. the interest of this paper is focuses on how investors use information regarding the activitry of four major auction houses - Sotheby's, Turners Auctions Ltd, Mallett PLC and Mowbray Collectables - and how this information is reflected in the stock price. After performing several test of market efficiency (Lo and MacKinlay test, Joint Wright test, Automatic Variance Ratio test), the results are discussed and interpreted. While some stocks exhibit market efficiency, other present a slow assimilation of information in the stock price and hence past information can be used to make predictions
关键词：Market efficiency;Auction houses;Art market