Are Real Assets Priced Internationally? Evidence from the Art Market
作者： Socorro Quintero , Jeffrey Donaldson , Kenneth Wieand
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摘要: This article investigates the relationships between U.S. and Japanese stock market indices prices of modern impressionist paintings sold at auction in New York by Christies Sotheby. An art price index is constructed to adjust for heterogeneity individual paintings. Time series properties are examined relation with S&P500 Topix indices. The art-price heteroskedastic autocorrelated. When log-returns compared log-price returns TOPIX indices, a single common long-term stochastic trend three found. In short run, log-changes related current lagged only.
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