On the uncertainty of art market returns
Ventura Charlin and
Arturo Cifuentes ()
Finance Research Letters, 2017, vol. 21, issue C, 186-189
We examine the returns based on auction data for two individual artists and two groups of artists. We employ a Hedonic Pricing Model correcting for the log-transformation bias followed by a wild bootstrap method. This approach allows us to specify confidence intervals for the return estimates. We find that the resulting confidence intervals are wide; therefore, relying solely on point estimates of returns to derive conclusions can be misleading. This situation calls into question the validity of previous research and also shows that the very concept of return in the context of art markets is quite elusive.
Keywords: Art market returns; Hedonic models; Bootstrapping; Alternative investments (search for similar items in EconPapers)
JEL-codes: G11 Z11 Z10 C02 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:186-189
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