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Rates of Return on Art Objects, the Fisher Hypothesis, and Inflationary Expectations

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  • Matsumoto, Keishiro
  • Andoh, Samuel K
  • Hoban, James P, Jr

Abstract

After surveying the evolution of the major methodologies in inflation hedging, this study presents a unique methodology that uses principal component factor analysis to separate the effects of variability in the real rate of return from the nominal rate of return. This approach allows the effects of both anticipated and unanticipated inflation on rates of return to be estimated more precisely. This study finds that art objects perform well in terms of average real rates of return and that the market, though not perfect, integrates anticipated inflation into the rates of return. However, unanticipated inflation is very often negatively related to the rates of return. Copyright 1994 by MIT Press.

Suggested Citation

  • Matsumoto, Keishiro & Andoh, Samuel K & Hoban, James P, Jr, 1994. "Rates of Return on Art Objects, the Fisher Hypothesis, and Inflationary Expectations," The Financial Review, Eastern Finance Association, vol. 29(4), pages 497-519, November.
    • Handle: RePEc:bla:finrev:v:29:y:1994:i:4:p:497-519
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    Cited by:

    1. Kenneth Wieand & Jeff Donaldson & Socorro Quintero, 1998. "Are Real Assets Priced Internationally? Evidence from the Art Market," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 167-187, September.
    2. G. Candela & A. Scorcu, 1997. "A Price Index for Art Market Auctions," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 21(3), pages 175-196, September.

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