An analysis of pricing and returns in the market for French Canadian paintings

Douglas J. Hodgson

8 citations0/0 files storedApplied Economics

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Art History and Market Analysis Financial Markets and Investment Strategies Auction Theory and Applications

Abstract

The valuation of French Canadian paintings is analysed empirically. Using a sample of auction prices for major French Canadian painters for the period 1968 to 2005, we run hedonic regressions to determine the influence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This is then used in a second stage analysis of the properties of these art works viewed as investment assets. We consider the extent to which standard asset pricing theory, as represented by the capital asset pricing model, can account for price movements in the market for French Canadian paintings.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1972The capital asset pricing model: Some empirical tests 1973Studies in the Theory of Capital Markets.

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