Art Auctions and Art Investment in the Golden Age of British Painting

We analyse the evolution of the price of paintings in London auctions with a unique data set of over 200,000 sales in the period 1780–1840. We build a price index for the representative painting through hedonic regressions controlling for the characteristics of auctions and paintings and for the artists’ fixed effects. The emergence of an efficient secondary art market was an important opportunity for portfolio diversification. Estimating a CAPM model for art investment suggests that British paintings could deliver a higher return compared to imported paintings and an attractive source of diversification relative to the contemporary stock market. This contributed to increase the demand for British art and, possibly, to promote the innovations of its Golden Age. While the representative painting of the British school was initially undervalued, new British painters reached foreign prices by the beginning of 1800s.     

Art in Africa: Hedonic price analysis of the South African fine art auction market, 2009–2014

Real asset markets are characterized by illiquidity and heterogeneous assets, presenting challenges to price estimators. Use of a new dataset of 7,553 auction fine art lots brought to market in South Africa, for 2009–14, allows us to examine the full sales hedonic price estimator over a wide set of characteristics. Results validate full sale hedonic pricing: Identities of artists, medium and genre, dating characteristics, and physical characteristics of artwork are significant. External validity of hedonic pricing is supported by out-of-sample price prediction for 40 individual artists. Auction house catalogue presentation of art work also proves correlated with realized auction prices. Art as an asset finds support: art prices move countercyclically with GDP and domestic equity markets, pro-cyclically with off-shore equity markets, implying a risk diversification role. JEL Codes: D1, L8. Keywords: hedonic price equation, art market, South Africa Word Count: 9467 (including all Tables, Figures, References).     

Australian Art Market Prices During the Global Financial Crisis and Two Earlier Decades

This study constructs a quarterly hedonic price index using 64,203 artworks, by seventy‐one well‐known modern and contemporary Australian artists, sold at auction houses over the period 1986–2009. The hedonic regression model includes characteristics such as name and living status of the artist, the size and medium of the painting, and the auction house, quarter and year in which the painting was sold. The resulting index indicates that returns on Australian fine‐art averaged one per cent in nominal terms over the period from quarter 1 1986 to quarter 4 2009 with a standard deviation of seventeen per cent. During the global financial crisis spanning quarter 1 2008 and quarter 4 2009, the average art returns declined in nominal terms by close to six per cent with a standard deviation of twenty‐one per cent. This study also shows that over the entire period the art market only marginally underperformed the stock and housing markets. The low correlations between these markets suggest the benefits of portfolio diversification.     

Financial Returns and Price Determinants in the Australian Art Market, 1973–2003*

In this study, 37 605 paintings by 60 well-known Australian artists sold at auction over the period 1973–2003 are used to construct a hedonic price index. The attributes included in the hedonic regression model include the name and living status of the artist, the size and medium of the painting and the auction house and year in which the painting was sold. The resulting index indicates that returns on Australian fine-art averaged 7 per cent over the period with a standard deviation of 16 per cent. The hedonic regression model also captures the willingness to pay for perceived attributes in the artwork, and this shows that works by McCubbin, Gascoigne, Thomas and Preston and other artists deceased at the time of auction, works executed in oils or acrylic, and those auctioned by Sotheby's or Christie's are associated with higher prices.     

Asset pricing theory and the valuation of Canadian paintings

Abstract.  The valuation of Canadian paintings is analysed empirically. Using a sample of auction prices for major Canadian painters for the period 1968–2001, we run hedonic regressions to analyse the influence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second‐stage analysis in which we analyse the properties of Canadian art viewed as an investment asset. We apply standard asset pricing theory, as incorporated in the capital asset pricing model (CAPM), to the analysis of price movements in the market for Canadian paintings.     

Estimating exact hedonic indexes: An application to UK television sets

Much attention has been given to the estimation of hedonic regressions given their potential use as a means to adjust consumer and producer price indices for quality changes. However, there has been warranted criticism over the methods used, particularly relating to the econometric specification of the models. Much of the criticism has arisen from the inability of available data to match the requirements of a fully specified model. Using EPOS scanner data for UK television sets we provide reliable hedonic estimates which incorporate several developments. Such data are available for a wide range of product areas and this application illustrates how they might be used. We develop methodology to help surmount problems arising from omitted variables, the coexistence of new and old models, weighting of observations and quality changes common to all models. More specifically we pay particular attention to the neglected area of product markets where pricing is above marginal cost.     

A green winner's curse? Investor behavior in the market for eco-certified office buildings

This paper contributes to the growing literature on the economics of green buildings: by merging auction theory and hedonic regression analysis we investigate the relationship between market concentration and price premiums in the American market for eco-certified real estate assets. Auction theory is used to model price formation where eco-investors may differ in their valuation of assets. Controlling for a large number of features, the empirical results provide evidence of a significant and positive relationship between investors’ eco-certified market share and prices of eco-certified space. Contributing to the recent debate over the nature of the green premium, we find that eco-investors are creating clientele effects and that they may be subject to a green winner's curse.     

Nonparametric neural network modeling of hedonic prices in the housing market

This article addresses the contribution to hedonic modeling of a nonparametric approach based on artificial neural network (ANN) regressions. ANNs provide consistent estimates for the hedonic price of each attribute and permit a number of hypotheses on the hedonic price relationship to be tested nonparametrically. In particular, we exploit results by Stinchcombe and White (Econom Theory 14:295?C324, 1998) in order to carry out misspecification testing in linear and semiloglinear hedonic models. The same approach directly applies to testing misspecification of any parametric specification for the hedonic relationship. A nonparametric significance test for the variables in the hedonic model is also proposed. The test extends the approach developed by Racine (J Bus Econ Stat 15(3):369?C378, 1997) in kernel-based nonparametric testing to ANN-based inference. The finite sample performance of the proposed tests is analyzed through Monte Carlo experiments, and simulation-based algorithms for computation of the null distribution of the tests are proposed. Then, the performance of three classes of regression models??linear, semi-log, and ANNs??applied to hedonic price modeling in a Spanish regional housing market is compared. Our results indicate the presence of nonlinear behavior, as predicted by economic theory, with the ANN-based tests detecting statistically significant evidence of misspecification??both in the linear and the semilog specifications??and ANN regressions providing moderate improvement of predictive performance.     

The Empirics of Wetland Valuation: A Comprehensive Summary and a Meta-Analysis of the Literature

Wetlands are highly productive ecosystems, providing a number of goods and services that are of value to people. The open-access nature and the public-good characteristics of wetlands often result in these regions being undervalued in decisions relating to their use and conservation. There is now a substantial literature on wetland valuation, including two meta-analyses that examine subsets of the available wetland valuation literature. We collected over 190 wetland valuation studies, providing 215 value observations, in order to present a more comprehensive meta-analysis of the valuation literature that includes tropical wetlands (e.g., mangroves), estimates from diverse valuation methodologies, and a broader range of wetland services (e.g., biodiversity value). We also aim for a more comprehensive geographical coverage. We find that socio-economic variables, such as income and population density, that are often omitted from such analyses are important in explaining wetland value. We also assess the prospects for using this analysis for out-of-sample value transfer, and find average transfer errors of 74%, with just under one-fifth of the transfers showing errors of 10% or less. † This paper has not been submitted elsewhere in identical or similar form, nor will it be during the first three months after its submission to the Publisher.     

Housing prices and crime perception

In this article, we combine data from the housing market with data from a victimization survey to estimate the effect of crime perception on housing prices in the City of Barcelona from 2004 to 2006. Using dwelling data and a hedonic price model (using both OLS and quantile regressions), in the first stage, we estimate the shadow price of the location of dwellings. In the second stage, we analyse the impact of crime perception, after controlling for other district characteristics such as local public spending and immigration, on this locational valuation. After accounting for the possible endogeneity of crime and housing prices, our findings suggest that crime exerts relevant costs beyond its direct costs. Indeed, a one standard deviation increase in perceived security is associated with a 0.57 % increase in the valuation of districts. Moreover, in districts perceived as being less safe than the average for the City of Barcelona, houses are highly discounted. Less safe districts have on average a valuation that is 1.27 % lower.     

土地价格和享乐评价方法

本文介绍了享乐价格理论的基本模型及享乐价格函数的估计（包括自变量的选择、自变量和因变量资料的收集及函数形式的选择）,结合我国的具体情况,讨论了享乐方法的应用可能性。为了进一步明确享乐方法应用条件,讨论了享乐方法应用的前提假设,最后,作者认为享乐方法可以成为城市地价评估的手段之一。     

Economic Analysis Of The Droit De Suite– The Artist's Resale Royalty

Interest in the Droit de Suite, the artist's resale royalty, has been re-kindled by the decision of the European Union to introduce such a scheme to apply from 2006. The general nature of the Droit de Suite as an extension of copyright is discussed. The specific proposals for a Droit de Suite in Australia are analysed. Economic arguments support the sceptical view of the Droit de Suite. It is argued that the introduction of the Droit de Suite would be predicted to reduce sales of new paintings, that selling activity would move to jurisdictions which do not have a Droit de Suite and that artists would prefer to alienate their Droit de Suite by sale of a painting. The economic analysis is supplemented by an empirical study of art auction prices of 72 artists in Australia over the period 1973–1989 which reveals that the works few artists achieve a capital gain on sale in the secondary market re-inforcing the view that, if implemented, a Droit de Suite would provide payments to only a small number of artists who are likely to be in good economic circumstances. The burden of the Droit de Suite is shown to fall on the collector when selling paintings. The effect of the imposition of the Droit de Suite will be to lower the gain to collectors of paintings. It is concluded that the Australian proposal for the Droit de Suite is based on an inadequate analysis of the art market and would require a registration procedure for art works incurring heavy costs in relation to the funds available for distribution.     

基于特征价格与SVM的二手房价格评估

二手房价格的准确衡量一直是个永恒的话题。为了避免传统评估方法的不足,更加合理地预测二手房价格,引入特征价格理论和支持向量机理论(SVM),以杭州市西湖区内的二手房价格数据,构建价格评估模型,实证研究表明具有良好的评估效果。     

Financial returns to collecting rare political economy books

Rare books of political economy are eminently collectable. Using historical prices, I employ hedonic regressions to estimate financial returns to collecting the works of ten eminent political economists and develop a price index for this corpus of collectables. For the observation period 1975–2019, I find that in those 45 years investing in rare political economy books yielded an average annual real rate of return of 2.8%, which is well in line with the returns to collecting rare books of classical literature. Compared with other collectibles such as fine art, investing in rare books turns out to be financially more profitable.     

Faster,smaller, cheaper: an hedonic price analysis of PDAs

We compute quality-adjusted price indexes for personal digital assistants (PDAs) for the period 1999 to 2004. Hedonic regressions indicate that prices are related to processor generation and clock speed, memory capacity, screen size and quality and the presence of a digital camera or wireless capability. A particularly salient feature of PDAs is portability, where we find: (i) purchasers value the energy density of the battery technology (e.g. lithium ion) rather than the battery life in hours; and (ii) the physical characteristics of the PDA (e.g. weight, volume) are nonlinearly related to price, suggesting that valuation of the physical form of PDAs does not bear a simple linear relationship to characteristics, either in absolute terms (‘smaller is better’) or vs. an ergonomic ‘sweet spot’. Rather, portability characteristics are correlated with other desirable attributes, making the relationship between price and portability difficult to disentangle. However, hedonic price indexes are robust across different measures of the portability of PDAs. Hedonic indexes using the dummy variable, characteristics prices, and imputation approaches decline on average between 19 and 26% per year. A matched model price index computed from a subset of observations declines at 19% per year, while a fixed-effects hedonic index declines at 14% per year.     

Direct effects of money on aggregate demand: another look at the evidence

Now that a number of central banks are faced with short-term nominal interest rates close to or at the zero lower bound, there is a renewed interest in the long-running debate about whether or not changes in the stock of money have direct effects. In particular, do changes in money have additional effects on aggregate demand outside of those induced by changes in short-term nominal interest rates? This article revisits and reinterprets the empirical evidence based on single equation regressions which is quite mixed, with some results supporting and other results denying the existence of direct effects. We use a structural model with no direct effects of money to show that the finding of positive and statistically significant coefficients on real money growth can be misleading. The model generates data that, when used to estimate analogues of the empirical regressions, produce positive and statistically significant coefficients on real money growth, similar to those often found when using actual data. The problem is that single equation regressions leave out a set of variables, which in turn, give rise to an omitted variables bias in the estimated coefficients on real money growth. Hence, they are an unreliable guide to calibrate monetary policies, in general, including at the zero lower bound.     

Entry of painters in the Amsterdam market of the Golden Age

We analyze the evolution of the entry of painters and price of paintings in the XVII century Amsterdam art market. In line with evolutionary theory, demand-driven entry in the market was first associated with product innovations and a rapid increase in the number of painters. After reaching a peak, the number of painters started to decrease in parallel with a price decline and the introduction of process innovations. To test for the role of profitability in the art market as a determinant of endogenous entry of painters, we build a price index for the representative painting inventoried in Dutch houses. This is based on hedonic regressions controlling for characteristics of the paintings (size, genre, placement in the house), the owners (job, religion, value of the collection, size of the house) and the painters. After a peak at the beginning of the century, the real price of paintings decreased until the end of the century. We provide anecdotal evidence for which high initial prices attracted entry of innovators, and econometric evidence on the causal relation between price movements and entry.     

The artist–art dealer relationship as a marketing channel

This article studies the relationship between the artist and the art dealer, interpreted as being the two members of a “marketing channel”, as defined by industrial organization and marketing science literature. The result for both parties depends on the individual effort that each of them puts in; uncoordinated effort levels are shown to result in an inefficient outcome. Efficiency, subject to different institutional settings and agreements, is studied here with specific reference to the visual arts. The results may easily apply to the stage of creation of a number of different artistic goods. Possible ways to reach efficient outcomes in marketing channels in artistic fields are suggested and discussed.     

Technical change, prices and communications technology: Insights from the Local Area Networking industry

We use hedonic regressions to analyse price changes in two categories of Local Area Networking (LAN) equipment: hubs and switches. Constant quality price indexes are constructed from the regressions and contrasted with available indexes constructed for the same type of equipment. We find that prices fell at an average annual rate between 22% and 33% during the 1990s. The results suggest that beside falling prices of inputs (i.e. semiconductors), technical change in the LAN equipment may be responsible for the decrease in the prices of communication equipment during the 1990s.     

Correcting for the endogeneity of pro-environment behavioral choices in contingent valuation

In contingent valuation studies, observed behavioral choices often enter as independent variables in the willingness to pay function. However, these variables may be endogenously determined when the error term in the behavioral model is correlated with the error term in the willingness to pay model. We investigate the effects of correcting for the endogeneity of a variable, namely membership status in environmental organizations that proxies unobservable characteristics of the respondents. Jointly modeling the membership variable and the willingness to pay response yields an estimate for the effect of the former that contradicts previous findings but is intuitive and agrees with theoretical expectations.