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The price index for the paintings of Henri Matisse: The sensitivity to the method of construction and connection with stock market and art indices

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  • Petrov, Nikita

    () (National Research University Higher School of Economics, Moscow, Russian Federation)

  • Ratnikova, Tatiana

    () (National Research University Higher School of Economics, Moscow, Russian Federation)

Abstract

The aim of this paper is to construct price indexes for the sample of Henri Matisse works. There are examination and comparison of two approaches: hedonic regression and repeat sales. Modifing hedonic regressions within a multilevel (hierarchical) approach allows to consider the possible sales correlation, made in the same time period. Constructed indices generally find a similar pattern, however, since 1990, the repeat sales index shows systematically lower values. The yield of the hedonic index and the index Mei–Moses are almost the same in the period of the 1990s. In the studied period the repeat sales index return almost identical to the Artprice Global Index yield. This circumstance sursuggests that investing in Henri Matisse paintings were as profitable, as investments in the art market as a whole. Annual return of the art index is more volatile than the stock index S&P500, but the dynamics of the yields are well correlated.

Suggested Citation

  • Petrov, Nikita & Ratnikova, Tatiana, 2017. "The price index for the paintings of Henri Matisse: The sensitivity to the method of construction and connection with stock market and art indices," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 47, pages 49-73.
  • Handle: RePEc:ris:apltrx:0324
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    References listed on IDEAS

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    More about this item

    Keywords

    art market; hedonic price index; art index; multilevel regression; random time effects; repeat sales index.;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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