The aim of this paper is to model painting prices at auction. Our contribution is threefold: first, the set of regressors used as explanatory variables in the hedonic regression is wider than those previously employed in the literature. Second, we use the Heckman (1979) approach to eliminate the...

I aim to understand art prices and returns from a market efficiency point of view and we seek to understand whether the art market exhibits predictability or randomness. I tested the weak-form efficiency random walk using ADF and found that most of my time-series data are non-stationary; hence,...

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical...