The validity of hedonic models for estimating heterogeneous assets returns

In this paper, we examine the validity of hedonic models for estimating heterogeneous assets returns. We look into the art markets, and show that the returns on hedonic indices strictly depend on the specifications of the model. Different sets of variables lead to different returns. This means that the researcher may implicitly decide on the performance of the hedonic index. These results are confirmed by conducting the same analysis on different samples, but they can be also deduced with simulated data. We conclude that hedonic models are sufficient for studying movements in the market; however, for studying art or other heterogeneous assets as an investment and comparing its performance to other asset classes, the repeat-sales models are more adequate