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.
Charlin, Ventura, and Arturo Cifuentes. "On the Uncertainty of Art Market Returns." Finance Research Letters 21 (May 2017): 186-189.
Each author name for a Columbia Business School faculty member is linked to a faculty research page, which lists additional publications by that faculty member.
Each topic is linked to an index of publications on that topic.