The relevance of hedonic price indices

Chanel, Olivier; Gérard‐Varet, Louis‐André; Ginsburgh, Victor

doi:10.1007/s10824-005-1024-3

Cited by 144 publications

(78 citation statements)

References 16 publications

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“…Gregory Chow (1967) used a similar approach to measure the impact of technological changes on computer prices. Chanel et al (1994Chanel et al ( , 1996, Chanel (1995) and Gerard-Varet (1995) discuss the use of hedonic models to construct art price indexes. 14 Consider the following model:…”

Section: Methodsmentioning

confidence: 99%

Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions

Campos

Barbosa²

2008

Oxford Economic Papers

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between science, politics and business. IZA is an independent nonprofit organization supported by Deutsche Post World Net. The center is associated with the University of Bonn and offers a stimulating research environment through its international network, workshops and conferences, data service, project support, research visits and doctoral program. IZA engages in (i) original and internationally competitive research in all fields of labor economics, (ii) development of policy concepts, and (iii) dissemination of research results and concepts to the interested public. Terms of use: Documents in D I S C U S S I O N P A P E R S E R I E SIZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author. Our results suggest that: (1) the reputation of an artist and the provenance of the artwork, omitted variables in most previous studies, seem to be more important determinants of the sale price of a painting than standard factors, such as medium and size, (2) the opinion of art experts seems to be of limited use in predicting whether or not an artwork sells at auction, (3) there is little supporting evidence for the widespread notion that the best or more expensive artworks tend to generate above average returns (the "masterpiece effect"), although (4) there is strong evidence in our data for the declining price anomaly, or "afternoon effect." JEL Classification: D44, G11, L12, Z10

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Section: Methodsmentioning

confidence: 99%

Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions

Campos

Barbosa²

2008

Oxford Economic Papers

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“…The drawback is that the index is constructed from multiple sales, which is a subset of the available transactions. Olivier Chanel, Louis-Andre Gerard-Varet, and Victor Ginsburgh (1996) provided a detailed discussion on the weakness of RSR model.…”

Section: Methodology For Estimating the Art Index And Asset Pricingmentioning

confidence: 99%

Art as an Investment and the Underperformance of Masterpieces

Mei

Moses

2002

SSRN Journal

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This paper constructs a new data set of repeated sales of artworks and estimates an annual index of art prices for the period 1875-2000. Contrary to earlier studies, we find art is comparable to government bonds as an investment, though it significantly under-performs stocks in the US. Art is also found to have lower volatility and lower correlation with other assets, making it more attractive for portfolio diversification than discovered in earlier research. There is strong evidence of underperformance of masterpieces, meaning expensive paintings tend to under-perform the art market index. A further study reveals that the underperformance is consistent with the presence of a "winner's curse" due to excessive bidding. There is no evidence, however, that the "law of one price" is violated in the New York art auction market.(JEL G14, Z10) 1 Department of Finance and Department of Operations Management, Stern School of Business, New York University, 44 West 4th Street, New York, NY 10012-1126. We have benefited from helpful discussions with Will Goetzmann, Robert Solow and Larry White on art as an investment. We are grateful to Jennifer Bowe, Jin Hung and Loan Hong for able research assistance. We would also like to thank Mathew Gee of the Stern Computer Department for his tireless efforts in rationalizing our database. We also wish to thank John Ammer, John Campbell, Victor Ginsburgh, Robert Hodrick, Burton Malkiel, Tom Pugel and seminar participants at Temple University for helpful comments and John Campbell for his latent variable model algorithm. All errors are ours.

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“…If, hypothetically, that OMP were auctioned, the export veto would apply. 7 Whereas the use of hedonic models dates back to Court (1941), Lancaster (1971) and Griliches (1971), this methodology was used to analyse qualitative characteristics in the art market only recently by Frey and Pommerenhe (1989), Buelens and Ginsburgh (1993), Chanel et al (1996), Agnello and Pierce (1996) and Agnello (2002), among others. The intuition behind the hedonic approach is that the (logged) price of an item can be decomposed into the price of an ''average'' item with average characteristics plus the prices of the deviations of the item characteristics with respect to their respective averages.…”

Section: Datamentioning

confidence: 99%

Old master paintings, export veto and price formation: an empirical study

Onofri

2009

Eur J Law Econ

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In this paper, we focus on the institutional setting where Old Masters'Paintings (OMP) markets transactions are carried. We develop a preliminary attempt to embody legal provisions in econometric, hedonic pricing models. We consider a particular regulation applicable only in Italy, the ''export veto'' for art objects that are particularly relevant for the national cultural patrimony. We proxy such legal provision in order to include it in the statistical analysis and to check whether it affects the OMP price differentials between pre-auction estimated price and post-auction hammer price. Preliminary results show that the price differential is affected by the legal variable, therefore suggesting that the country's institutional framework plays an important role in price dynamics.

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The relevance of hedonic price indices

Cited by 144 publications

References 16 publications

Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions

Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions

Art as an Investment and the Underperformance of Masterpieces

Old master paintings, export veto and price formation: an empirical study

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