Monthly Art Market Returns

Buying Beauty: On Prices and Returns in the Art Market

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-...

Power Laws of Wealth, Market Order Volumes and Market Returns

Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic assumptions on capital dynamics, we are able to obtain very specific predictions for the distribution of social wealth. First, we show that in a ’fair’ market, the we...

Exploring relation between Indian market sentiments and stock market returns

Estimating skewness persistence in market returns

Recent researches on stock market volatility have found considerable empirical evidence for the persistence of variance in stock market returns. The ARCH and unit root models in different versions analysed by Engle and Bollerslev (1986), Schwert (1989) and Nelson (1991) have usually discussed the conditional variance process as a function of lagged variance, where the skewness of the return dis...

Investor Flows and Stock Market Returns

This study is the first to simultaneously analyze the relation between aggregate stock market returns and cash flows of the various investor groups that constitute the entire stock market in the United States. We examine the relation between investor flows and stock market returns over a long time period from 1952 to 2004, and also examine the relation between investor flows and longer-term sto...