 Don’t let the easy be the enemy of the good. Returns from art investments: What is wrong with it?Marilena Vecco and Roberto Zanola Journal of Economic Behavior & Organization, 2017, vol. 140, issue C, 120-129 Abstract: Although geometric hedonic price indexes are widely used in the hedonic literature on non-standard investments, it is well known that portfolios of assets have values that are related to the arithmetic, not geometric, average of prices. This paper explores the implications of the use of arithmetic hedonic price indexes for art investments. Log-linear predictions are retransformed back to the original scale by performing a modified version of the Duan’s smearing factor. This procedure is illustrated with an analysis of the returns from 10,459 Surrealist paintings sold worldwide during the pre-crisis period 1990–2007. Findings show significant differences between the arithmetic versus geometric price indexes, while emphasising the caution that should be exercised in interpreting the hedonic index prices of non-standard investments as they are typically computed for academic and business applications. Keywords: Retransformation; Dutot price index; Jevons price index; Non-standard investments; Hedonic prices (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:140:y:2017:i:c:p:120-129 DOI: 10.1016/j.jebo.2017.05.009 Access Statistics for this article Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D. More articles in Journal of Economic Behavior & Organization from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.