Year of Graduation
2020
Level of Access
Open Access Thesis
Embargo Period
5-11-2020
Department or Program
Economics
First Advisor
Mathew Botsch
Abstract
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.
Included in
Behavioral Economics Commons, Finance Commons, Other Economics Commons, Painting Commons