کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090297 1375625 2010 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Random walk theory and the weak-form efficiency of the US art auction prices
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Random walk theory and the weak-form efficiency of the US art auction prices
چکیده انگلیسی
We perform variance ratio tests based on non-parametric methods to detect the size of the random walk component of the US art auction prices. The past 134 years of the US art prices exhibit large transitory component (72%) and based on this, the random walk hypothesis does not hold. However, possibly due to sparse data before 1935 or due to institutional changes of the art market after World War II, we detect structural breakpoints and find that the random walk hypothesis and the weak-form efficiency of the US art market cannot be rejected at least for the past 64 years.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 5, May 2010, Pages 1062-1076
نویسندگان
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