Abstract
The Capital Asset Pricing Model (CAPM) has been used in a number of studies to explore the features of the art market (or individual artists). We claim that such studies have been based on unsuitable estimates of art market returns in the context of the CAPM methodology. The CAPM calls for employing total returns whereas most art-related studies rely on return estimates based on the time-dummies of hedonic pricing models. This choice is conceptually flawed since it is based on an ideal or average painting whose characteristics do not change overtime, and therefore, it does not capture total returns. We also claim that most indexes used in previous studies as proxy for the market are not able to capture the dynamics of the art market. These two observations call into question at least some of the findings of earlier researchers. Finally, we illustrate these points with several examples using actual auction prices for a group of surrealist artists. We also advance some proposals to overcome the above-mentioned shortcomings.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
