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The record-breaking prices observed in the art market over the last three years raise the question of whether we are experiencing a speculative bubble. Given the difficulty to determine the fundamental value of artworks, we apply a right-tailed unit root test with forward recursive regressions (SADF test) to detect explosive behaviors directly in the time series of four different art market segments (“Impressionist and Modern”, “Post-war and Contemporary”, “American”, and “Latin American”) for the period from 1970 to 2013. We identify two historical speculative bubbles and find an explosive movement in today’s “Post-war and Contemporary” and “American” fine art market segments.


Kräussl, Roman, Thorsten Lehnert, and Nicolas Martelin. "Is There a Bubble in the Art Market?" Working Paper May 6, 2014.

At the time of publication, Nicolas Martelin was affiliated with University of Luxembourg.