This paper adds to the stream of research dealing with the art work by investigating the returns obtained by auction houses. We are interested in testing the market efficiency of the most influential auction house as a signal for art market robustness. the interest of this paper is focuses on how investors use information regarding the activitry of four major auction houses -Sotheby's , Turners Auctions Ltd, Mallett PLC and Mowbray Collectables -and how this information is reflected in the stock price. After performing several test of market efficiency (Lo and MacKinlay test, Joint Wright test, Automatic Variance Ratio test), the results are discussed and interpreted. While some stocks exhibit market efficiency, other present a slow assimilation of information in the stock price and hence past information can be used to make predictions
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.