Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market

摘要: This study develops a novel 2-step hedonic approach, which is used to construct price index for German paintings. approach enables the researcher use every single auction record, instead of only those records that belong sub-sample selected artists. results in substantially larger sample available research and it lowers selection bias inherent traditional repeat sales methodologies. Using unique 61,135 artworks created by 5,115 different artists over period 1985 2007, we find geometric annual return on art just 3.8 percent, with standard deviation 17.87 percent. Although our indicate underperforms market portfolio not proportionally rewarded downside risk, under some circumstances should be included an optimal diversification purposes.