The Experts below are selected from a list of 65940 Experts worldwide ranked by ideXlab platform
Arturo Cifuentes - One of the best experts on this subject based on the ideXlab platform.
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an options based approach to analyze auction guarantees in the Art Market
The North American Journal of Economics and Finance, 2020Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:Abstract Auction-house guarantees are becoming a common feature in the Art Market. We analyze these guarantees within the framework of financial options. This approach allows us to derive analytical (closed-form) expressions to value these positions, considering both, the case in which the painting is sold, and the case in which the painting goes unsold (“bought in”). In addition, we present several risk metrics that are useful to describe from an intuitive viewpoint the exposure of the auction house, and that of a third pArty (in case the auction house decides to layoff, fully or pArtially, the risk associated with offering such guarantees). We demonstrate that the expressions we derive satisfy the put-call parity relationship, and we further validate these formulas with a Monte Carlo simulation applied to a realistic example. We also show that the risk associated with such guarantees is lower than what is commonly believed by Market practitioners, and we expose the dangers of relying on the Black-Scholes model to value such guarantees. Finally, having explicit expressions to assess the risk involved in these guarantees helps to bring more transparency to a notoriously opaque segment of the Art Market.
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the Art Market what do we know about returns
2015Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:We examine the annual returns based on auction data for two groups of Artists (Surrealists and Impressionists) and two individual Artists (Picasso and Renoir) using hedonic pricing models in combination with a wild bootstrap statistical technique. With this approach we estimate confidence intervals for such returns; we also estimate confidence intervals for the correlations with returns of other type of assets, and risk-return metrics. We find that the confidence intervals associated with these figures of merit are so wide that it is difficult, if not impossible, to derive absolute conclusions or to make meaningful comparisons, with the behavior of other assets. We also observe that relying on single-point estimates of the above-mentioned metrics – without accounting for the corresponding confidence intervals – can lead to erroneous interpretations regarding Art-Market returns. Moreover, our results suggest that previous studies regarding Art Market returns, their correlation with broader Market indices, and their risk-return profiles, should be re-examined as they were based on single-point estimates of the relevant metrics. These findings might be of interest to researchers who use hedonic pricing models in the analysis of other infrequently traded assets as the number of sales/observations is likely to be rather low.
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A new financial metric for the Art Market
arXiv: General Finance, 2013Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:This paper introduces a new financial metric for the Art Market. The metric is based on the price per unit of area and is applicable to two-dimensional Art objects such as paintings.
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a new financial metric for the Art Market
2013Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:This paper introduces a new financial metric for the Art Market. The metric, which we call Artistic Power Value (APV), is based on the price per unit of area (dollars per square centimeter) and is applicable to two-dimensional Art objects such as paintings. In addition to its intuitive appeal and ease of computation, this metric has several advantages from the investor’s viewpoint. For example, it makes it easy to: (i) estimate price ranges for different Artists; (ii) perform comparisons among them; (iii) follow the evolution of the Artists’ creativity cycle overtime; and (iiii) compare, for a single Artist, paintings with different subjects or different geometric properties. Additionally, the APV facilitates the process of estimating total returns. Finally, due to its transparency, the APV can be used to design derivatives-like instruments that can appeal to both, investors and speculators. Several examples validate this metric and demonstrate its usefulness.
Kim Oosterlinck - One of the best experts on this subject based on the ideXlab platform.
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The French Art Market under the Nazi boot: looking for discreet assets
2018Co-Authors: Kim OosterlinckAbstract:The French Art Market during the Occupation has been the subject of numerous publications that mostly focused on the fate of looted Artworks, with limited attention given to the Art Market itself.
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War, monetary reforms and the Belgian Art Market, 1945-1951
Financial History Review, 2015Co-Authors: Geraldine David, Kim OosterlinckAbstract:To investigate the link between monetary reforms and prices on the Art Market, this Article focuses on the aftermath of the Gutt plan, a monetary purge implemented in Belgium just after World War II. On the basis of an original database of close on 3,000 Artworks sold between 1945 and 1951, this Article shows that, following the implementation of the Gutt plan, real prices on the Art Market experienced a massive drop suggesting that real prices on the Art Market are significantly influenced by money supply.
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Art Market Inefficiency
Economics Letters, 2013Co-Authors: Geraldine David, Kim Oosterlinck, Ariane SzafarzAbstract:Art is often used as an investment vehicle. Given the importance of Market efficiency in finance, we use a large auction-based index to test whether the Art Market is weakly efficient. Evidence reveals that returns on Artworks exhibit high positive auto-correlation. We attribute this result to price truncation resulting from unobservable reserve prices in auctions. We conclude that the Art Market is not efficient, mainly because price formation is opaque to outsiders who lack information on unsold Artworks.
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War, Inflation, Monetary Reforms and the Art Market
2012Co-Authors: Geraldine David, Kim OosterlinckAbstract:During World War II, the Art Market experienced a massive boom in occupied countries. The discretion, the inflation proof character, the absence of Market intervention and the possibility to resell Artworks abroad have been suggested to explain why investing in Artworks was one of the most interesting opportunities under the German boot. On basis of an original database of close to 4000 Artworks sold between 1944 and 1951 at Giroux, one of the most important Art Gallery in Brussels, this paper analyzes, the price movements on the Belgian Art Market following the liberation. Market reactions following the war are used to understand which motivations played the most important role in investors’ decisions. Prices on the Art Market experienced a massive drop. This huge price decline is attributed to two elements: fear of prosecution for war profits and the monetary reforms set into place in October 1944.
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War, Inflation, Monetary Reforms and the Art Market . The Belgian Art Market (1944 – 1951)
2011Co-Authors: Geraldine David, Kim OosterlinckAbstract:During World War II, the Art Market experienced a massive boom in occupied countries. The discretion, the inflation proof character, the absence of Market intervention and the possibility to resell Artworks abroad have been suggested to explain why investing in Artworks was one of the most interesting opportunities under the German boot. On basis of an original database of close to 4000 Artworks sold between 1944 and 1951 at Giroux, one of the most important Art Gallery in Brussels, this paper analyzes, the price movements on the Belgian Art Market following the liberation. Market reactions following the war are used to understand which motivations played the most important role in investors’ decisions. Prices on the Art Market experienced a massive drop. This huge price decline is attributed to two elements: fear of prosecution for war profits and the monetary reforms set into place in October 1944.
Erica Coslor - One of the best experts on this subject based on the ideXlab platform.
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transparency in an opaque Market evaluative frictions between thick valuation and thin price data in the Art Market
2016Co-Authors: Erica CoslorAbstract:This paper highlights the paradoxical effects of increased price data in Markets with difficult-to-value products where non-price factors are highly relevant. In the fine Art Market, the growth of Market information providers facilitated access to auction price data, beneficial in a Market noted for its clandestine dealings. Drawing from inductive ethnographic research, the paper notes complex outcomes from increased data availability, as auction prices can be seen as an indicator of an Artwork’s value. The findings deconstruct factors of supply, demand and multiple prices in the Art Market, highlighting important non-price factors in valuation, which complicates provider claims of Art Market transparency. Unpacking the process through which expert “thick” valuation transforms raw price data into comparables and then valuations helps to explain continuing differences in valuation, with buyers prone to understand past prices as Market or reference prices, rather than raw materials for valuation that are adjusted for complexity. This contributes to an understanding of both advantages and predictable problems from increased price data in Markets that contain substantial qualitative and non-numerical data, as evaluative frictions can occur in the absence of clearly defined alternative valuation methods. This develops productive linkages between critical transparency and the valuation and evaluation research.
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transparency in an opaque Market evaluative frictions between thick valuation and thin price data in the Art Market
Accounting Organizations and Society, 2016Co-Authors: Erica CoslorAbstract:This paper highlights the paradoxical effects of increased price data in Markets with difficult-to-value products where non-price factors are highly relevant. In the fine Art Market, the growth of Market information providers facilitated access to auction price data, beneficial in a Market noted for its clandestine dealings. Drawing from inductive ethnographic research, the paper notes complex outcomes from increased data availability, as auction prices can be seen as an indicator of an Artwork’s value. The findings deconstruct factors of supply, demand and multiple prices in the Art Market, highlighting important non-price factors in valuation, which complicate provider claims of Art Market transparency. Unpacking the process through which expert “thick” valuation transforms raw price data into comparables and then valuations helps to explain continuing differences in valuation, with buyers prone to understand past prices as Market or reference prices, rather than raw materials for valuation that are adjusted for complexity. This contributes to an understanding of both advantages and predictable problems from increased price data in Markets that contain substantial qualitative and non-numerical data, as evaluative frictions can occur even in the absence of clearly defined alternative valuation methods. This develops productive linkages between critical transparency and the valuation and evaluation research.
Ventura Charlin - One of the best experts on this subject based on the ideXlab platform.
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an options based approach to analyze auction guarantees in the Art Market
The North American Journal of Economics and Finance, 2020Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:Abstract Auction-house guarantees are becoming a common feature in the Art Market. We analyze these guarantees within the framework of financial options. This approach allows us to derive analytical (closed-form) expressions to value these positions, considering both, the case in which the painting is sold, and the case in which the painting goes unsold (“bought in”). In addition, we present several risk metrics that are useful to describe from an intuitive viewpoint the exposure of the auction house, and that of a third pArty (in case the auction house decides to layoff, fully or pArtially, the risk associated with offering such guarantees). We demonstrate that the expressions we derive satisfy the put-call parity relationship, and we further validate these formulas with a Monte Carlo simulation applied to a realistic example. We also show that the risk associated with such guarantees is lower than what is commonly believed by Market practitioners, and we expose the dangers of relying on the Black-Scholes model to value such guarantees. Finally, having explicit expressions to assess the risk involved in these guarantees helps to bring more transparency to a notoriously opaque segment of the Art Market.
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the Art Market what do we know about returns
2015Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:We examine the annual returns based on auction data for two groups of Artists (Surrealists and Impressionists) and two individual Artists (Picasso and Renoir) using hedonic pricing models in combination with a wild bootstrap statistical technique. With this approach we estimate confidence intervals for such returns; we also estimate confidence intervals for the correlations with returns of other type of assets, and risk-return metrics. We find that the confidence intervals associated with these figures of merit are so wide that it is difficult, if not impossible, to derive absolute conclusions or to make meaningful comparisons, with the behavior of other assets. We also observe that relying on single-point estimates of the above-mentioned metrics – without accounting for the corresponding confidence intervals – can lead to erroneous interpretations regarding Art-Market returns. Moreover, our results suggest that previous studies regarding Art Market returns, their correlation with broader Market indices, and their risk-return profiles, should be re-examined as they were based on single-point estimates of the relevant metrics. These findings might be of interest to researchers who use hedonic pricing models in the analysis of other infrequently traded assets as the number of sales/observations is likely to be rather low.
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A new financial metric for the Art Market
arXiv: General Finance, 2013Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:This paper introduces a new financial metric for the Art Market. The metric is based on the price per unit of area and is applicable to two-dimensional Art objects such as paintings.
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a new financial metric for the Art Market
2013Co-Authors: Ventura Charlin, Arturo CifuentesAbstract:This paper introduces a new financial metric for the Art Market. The metric, which we call Artistic Power Value (APV), is based on the price per unit of area (dollars per square centimeter) and is applicable to two-dimensional Art objects such as paintings. In addition to its intuitive appeal and ease of computation, this metric has several advantages from the investor’s viewpoint. For example, it makes it easy to: (i) estimate price ranges for different Artists; (ii) perform comparisons among them; (iii) follow the evolution of the Artists’ creativity cycle overtime; and (iiii) compare, for a single Artist, paintings with different subjects or different geometric properties. Additionally, the APV facilitates the process of estimating total returns. Finally, due to its transparency, the APV can be used to design derivatives-like instruments that can appeal to both, investors and speculators. Several examples validate this metric and demonstrate its usefulness.
Christophe Spaenjers - One of the best experts on this subject based on the ideXlab platform.
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buying beauty on prices and returns in the Art Market
Management Science, 2013Co-Authors: Luc Renneboog, Christophe SpaenjersAbstract:This paper investigates the price determinants and investment performance of Art. We apply a hedonic regression analysis to a new data set of more than one million auction transactions of paintings and works on paper. Based on the resulting price index, we conclude that Art has appreciated in value by a moderate 3.97% per year, in real U.S. dollar terms, between 1957 and 2007. This is a performance similar to that of corporate bonds---at much higher risk. A repeat-sales regression on a subset of the data demonstrates the robustness of our index. Next, quantile regressions document larger average price appreciations and higher volatilities in more expensive price brackets. We also find variation in historical returns across mediums and movements. Finally, we show that measures of high-income consumer confidence and Art Market sentiment predict Art price trends. This paper was accepted by Wei Xiong, finance.
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Buying Beauty: On Prices and Returns in the Art Market
Management Science, 2013Co-Authors: Christophe Spaenjers, Luc RenneboogAbstract:This paper investigates the price determinants and investment performance of Art. We apply a hedonic regression analysis to a new data set of more than one million auction transactions of paintings and works on paper. Based on the resulting price index, we conclude that Art has appreciated in value by a moderate 3.97% per year, in real U.S. dollar terms, between 1957 and 2007. This is a performance similar to that of corporate bonds--at much higher risk. A repeat-sales regression on a subset of the data demonstrates the robustness of our index. Next, quantile regressions document larger average price appreciations (and higher volatilities) in more expensive price brackets. We also find variation in historical returns across mediums and movements. Finally, we show that measures of high-income consumer confidence and Art Market sentiment predict Art price trends.
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buying beauty on prices and returns in the Art Market
Other publications TiSEM, 2009Co-Authors: Luc Renneboog, Christophe SpaenjersAbstract:This paper investigates the evolution of prices and returns in the Art Market since the middle of the previous century. We first compile a comprehensive list of more than 10,000 Artists and then build a dataset that contains information on more than 1.1 million auction sales of paintings, prints, and works on paper. We perform an extensive hedonic regression analysis that includes unique price-determining variables capturing amongst others: the Artist’s reputation, the strength of the attribution to an Artist, and the subject matter of the work. Based on the resulting price index, we conclude that Art has appreciated in value by a moderate 4.03% per year, in real USD terms, between 1951 and 2007. During the Art Market boom period 2002-2007, prices augmented by 11.60% annually, which explains the increased attention to ‘Art as an investment’. Furthermore, our results show that, over the last quArter of a century, prices of oil paintings and of post-war Art have risen faster than the overall Market. In contrast to earlier studies, we find evidence of a positive masterpiece effect: high-quality Art makes a better investment. Our results are robust to alternative model specifications, and do not seem influenced by sample selection or survivorship biases. When comparing the long-term returns on Art to those on financial assets, we find that Art has underperformed stocks but outperformed bonds. However, between 1982 and 2007, bonds yielded higher average returns (at a lower risk) than Art. Buyers of Art should thus expect to reap non-pecuniary benefits rather than high financial returns, especially because the modest Art returns are further diminished by substantial transaction costs.