Investigating Art Market Efficiency

Shaping Art with Art: Morphological Analysis for Investigating Artistic Reproductions

Whereas one part of art history is a history of inventions, the other part is a history of transfer, of variations and copies. Art history wants to understand the differences between these, in order to learn about artistic choices and stylistic variations. In this paper we develop a method that can detect variations between artworks and their reproductions, in particular deformations in shape. ...

The Market for Contemporary Art

Product Market Competition and Stock Market Efficiency

How does competition in a firm's product market affect the behavior of its stock? We examine this question in a noisy rational expectations economy in which firms operate under monopolistic competition. Production is subject to productivity shocks and requires capital, raised on a perfectly competitive equity market. Investors observe firms' past profits and collect private information about th...

Dissecting Market Efficiency ∗

In this paper we introduce a new methodology to test market efficiency and to assess the performance of the most widely accepted asset pricing models. We use this methodology to test the semi-strong form of market efficiency in the context of publicly available accounting information. Instead of testing for a single accounting-based firm characteristic that can generate abnormal excess returns ...

Stochastic Market Efficiency

In Sec. 1 we summarize a few key properties of geometric Brownian motion that were pointed out in (Peters, 2010). We indicate the main elements of the analogy that is often drawn between this and the dynamics of markets. Section 2 introduces the concept of stochastic efficiency, namely the hypothesis that the properties of price fluctuations in real markets are strongly constrained by stability...