Asset prices and priceless assets

J.N.G. Penasse

Research output: ThesisDoctoral Thesis

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Abstract

The doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has been published in Economics Letters (Volume 122, Issue 3, pp. 432-434), and was written together with Christophe Spaenjers and Luc Renneboog. Chapter 2 investigates how fast is information incorporated into aggregate art prices. Chapter 3 studies price-volume dynamics in the art market and documents evidence of bubble patterns in prices and is written with Luc Renneboog. Chapter 4 proposes a Bayesian estimation procedure that makes efficient use of cross-sectional information, and revisits the return predictability literature.
Original languageEnglish
QualificationJoint degree
Awarding Institution
  • Tilburg University
  • Université de Cergy-Pontoise
Supervisors/Advisors
  • Desgranges, G., Promotor, External person
  • Renneboog, Luc, Promotor
  • Challe, E., Co-promotor, External person
Award date2 Dec 2014
Place of PublicationTilburg
Publisher
Print ISBNs9789056684167
Publication statusPublished - 2014

Fingerprint

Art market
Asset prices
Assets
Return predictability
Bayesian estimation
Bubble
Asset returns
Economics
Fads

Cite this

Penasse, J. N. G. (2014). Asset prices and priceless assets. Tilburg: CentER, Center for Economic Research.
Penasse, J.N.G.. / Asset prices and priceless assets. Tilburg : CentER, Center for Economic Research, 2014. 161 p.
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Penasse, JNG 2014, 'Asset prices and priceless assets', Joint degree, Tilburg University, Tilburg.

Asset prices and priceless assets. / Penasse, J.N.G.

Tilburg : CentER, Center for Economic Research, 2014. 161 p.

Research output: ThesisDoctoral Thesis

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AB - The doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has been published in Economics Letters (Volume 122, Issue 3, pp. 432-434), and was written together with Christophe Spaenjers and Luc Renneboog. Chapter 2 investigates how fast is information incorporated into aggregate art prices. Chapter 3 studies price-volume dynamics in the art market and documents evidence of bubble patterns in prices and is written with Luc Renneboog. Chapter 4 proposes a Bayesian estimation procedure that makes efficient use of cross-sectional information, and revisits the return predictability literature.

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Penasse JNG. Asset prices and priceless assets. Tilburg: CentER, Center for Economic Research, 2014. 161 p. (CentER Dissertation Series).