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Art and Money

William N. Goetzmann
Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Luc Renneboog
Tilburg University - Department of Finance; European Corporate Governance Institute (ECGI)

Christophe Spaenjers
Tilburg University - Center and Faculty of Economics and Business Administration

November 6, 2009

Yale ICF Working Paper No. 09-26
TILEC Discussion Paper No. 2010-002
CentER Discussion Paper Series No. 2010-08

Abstract:
This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. We also find empirical evidence that an increase in income inequality may lead to higher prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration tests strongly suggest the existence of a long-run relation between top incomes and art prices.

Keywords: Art market, Equities, Income inequality, Cointegration, Comovement

JEL Classifications: D31, D44, G1, Z11.

Working Paper Series

Date posted: November 07, 2009 ; Last revised: January 24, 2010

Suggested Citation

Goetzmann, William N., Renneboog, Luc and Spaenjers, Christophe, Art and Money (November 6, 2009). Yale ICF Working Paper No. 09-26; TILEC Discussion Paper No. 2010-002; CentER Discussion Paper Series No. 2010-08. Available at SSRN: http://ssrn.com/abstract=1501171

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Contact Information

William N. Goetzmann (Contact Author) Yale School of Management - International Center for Finance ( email ) 135 Prospect Street P.O. Box 208200 New Haven, CT 06520-8200 United States 203-432-5950 (Phone) 203-432-8931 (Fax) HOME PAGE: http://viking.som.yale.edu
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States
Luc Renneboog Tilburg University - Department of Finance ( email ) P.O. Box 90153 Warandelaan 2 5000 LE Tilburg Netherlands +13 31 466 8210 (Phone) +13 31 466 2875 (Fax)
European Corporate Governance Institute (ECGI) c/o ECARES ULB CP 114 B-1050 Brussels Belgium
Christophe Spaenjers Tilburg University - Center and Faculty of Economics and Business Administration ( email ) P.O. Box 90153 5000 LE Tilburg Netherlands

Abstract

Date posted: November 07, 2009 ; Last revised: January 24, 2010

Suggested Citation

Contact Information

William N. Goetzmann (Contact Author)

Luc Renneboog

Christophe Spaenjers