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Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market
16 references·8 citing·33 second hop
Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market (2008)Constructing the true art market index: A…Art as a Financial Investment (2008)Art as a Financial InvestmentFinancial Returns and Price Determinants in the Australian Art Market, 1973-2003* (2005)Financial Returns and Price D…Art as an investment: risk, return and portfolio diversification in major painting markets (2004)Art as an investment: risk, r…Art as an Investment and the Underperformance of Masterpieces (2002)Art as an Investment and the …Picasso Paintings at Auction, 1963–1994 (1997)Picasso Paintings at Auction,…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The relevance of hedonic price indices (1996)The relevance of hedonic pric…Is art market behaviour predictable? (1995)Is art market behaviour predi…Revisiting Baumol's ‘art as floating crap game’ (1993)Revisiting Baumol's ‘art as f…Art as an investment: The market for modern prints (1993)Art as an investment: The mar…Accounting for taste: Art and the financial markets over three centuries (1993)Accounting for taste: Art and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Unnatural Value: Or Art Investment as Floating Crap Game (1985)Unnatural Value: Or Art Inves…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Art for art’s sake? An exploration of the Chinese art market (2021)Art for art’s sake? An explor…Measuring alternative asset prices in an emerging market: The case of the South African art market (2020)Measuring alternative asset p…The comparison of the hedonic, repeat sales, and hybrid models: Evidence from the Chinese paintings market (2018)The comparison of the hedonic…Which Part of the Chinese Art Market Is More Worth Investing In? Applying the Quantile Regression to Analyze Chinese Oil Paintings 2000–2014 (2016)Which Part of the Chinese Art…The Art Market in the European Union (2014)The Art Market in the Europea…An Application of Hedonic Regression to Evaluate Prices of Polish Paintings (2014)An Application of Hedonic Reg…Indeks rynku sztuki. Badania pilotażowe dla wybranych malarzy polskich (2013)Indeks rynku sztuki. Badania …Art as an Investment: The Top 500 Artists (2010)Art as an Investment: The Top…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Muses and Markets: Explorations in the Economics of the Arts (1989)Buying Beauty: On Prices and Returns in the Art Market (2012)Disappointment in Decision Making Under Uncertainty (1985)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)PAINTINGS AS AN INVESTMENT (1974)Measuring Returns on Investments in Collectibles (1999)The Hedonic Method (2003)Auctions and the Price of Art (2003)Art as an Investment and Conspicuous Consumption Good (2009)Art and Money (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Entertainment industry economics: a guide for financial analysis (2007)Anchoring Effects: Evidence from Art Auctions (2009)
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References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 2002Art as an Investment and the Underperformance of Masterpieces539 cited
  • 1985Unnatural Value: Or Art Investment as Floating Crap Game377 cited
  • 1993Accounting for taste: Art and the financial markets over three centuries368 cited
  • 1993Art as an investment: The market for modern prints335 cited
  • 1996The relevance of hedonic price indices205 cited
  • 1993Revisiting Baumol's ‘art as floating crap game’198 cited
  • 2008Art as a Financial Investment172 cited
  • 1995Is art market behaviour predictable?137 cited
  • 2005Financial Returns and Price Determinants in the Australian Art Market, 1973-2003*119 cited
  • 2004Art as an investment: risk, return and portfolio diversification in major painting markets115 cited
  • 1997Picasso Paintings at Auction, 1963–1994

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110 cited

Cited by

  • 2014An Application of Hedonic Regression to Evaluate Prices of Polish Paintings17 cited
  • 2018The comparison of the hedonic, repeat sales, and hybrid models: Evidence from the Chinese paintings market16 cited
  • 2014The Art Market in the European Union13 cited
  • 2016Which Part of the Chinese Art Market Is More Worth Investing In? Applying the Quantile Regression to Analyze Chinese Oil Paintings 2000–201413 cited
  • 2020Measuring alternative asset prices in an emerging market: The case of the South African art market11 cited
  • 2010Art as an Investment: The Top 500 Artists10 cited
  • 2021Art for art’s sake? An exploration of the Chinese art market7 cited
  • 2013Indeks rynku sztuki. Badania pilotażowe dla wybranych malarzy polskich6 cited