IS ART-MARKET BEHAVIOR PREDICTABLE

In this paper we look for relationships between art and financial mark ets through econometric methods. The main results indicate that financ ial markets influence the art market, with a lag of about one year, wh ich seems plausible due to the relative sizes of both markets. The Vec tor Auto Regressive (V.A.R.) model shows that lagged financial variabl es help predicting art prices, even if the lag does not allow for syst ematic profits.