摘要：AbstractThis 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
