The role of enthusiasm/momentum on performance is much studied in finance literature. We address this issue for individual artists with our artist momentum indicator. We create a simple measure for individual artists by computing the willingness of buyers and sellers to transact their art works at auction at a return above or below a “market return” for the identical holding period as the artwork. We use an appropriate art market liquidity index derived from all repeat sale pairs of artists, in the same liquidity group, to generate the mark to market return. We compute the difference between the index return and the return of the individual artwork for all the artist works in our repeat sale database. We then summarize the data by computing the mean of these differences for works brought to market in the 21st century to determine a unique market enthusiasm factor for each of our 1900 artists that have at least 5 repeat sale pairs.View More
The role of enthusiasm/momentum on performance is much studied in finance literature. We address this issue for individual artists with our artist momentum indicator. We create a simple measure for individual artists by computing the willingness of buyers and sellers to transact their art works at auction at a return above or below a “market return” for the identical holding period as the artwork. We use an appropriate art market liquidity index derived from all repeat sale pairs of artists, in the same liquidity group, to generate the mark to market return. We compute the difference between the index return and the return of the individual artwork for all the artist works in our repeat sale database. We then summarize the data by computing the mean of these differences for works brought to market in the 21st century to determine a unique market enthusiasm factor for each of our 1900 artists that have at least 5 repeat sale pairs.View More