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Beauty is in the Bid of the Beholder: An Empirical Basis for Style

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Listed:
  • William Goetzmann
  • Mauro Maggioni
  • Johan Walden
  • Peter Jones

Abstract

We develop a method for classification of works of art based on their price dynamics. The method is in the same spirit a factor models commonly used within financial economics. Factor models assume that price dynamics of assets are related to underlying fundamental characteristics. We assume that such characteristics exist for works of art, and that they are associated

Suggested Citation

  • William Goetzmann & Mauro Maggioni & Johan Walden & Peter Jones, 2004. "Beauty is in the Bid of the Beholder: An Empirical Basis for Style," Yale School of Management Working Papers amz2626, Yale School of Management.
    • Handle: RePEc:ysm:wpaper:amz2626
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    References listed on IDEAS

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    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    2. repec:pri:wwseco:dp222 is not listed on IDEAS
    3. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," The Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
    4. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001. "Luxury Goods and the Equity Premium," NBER Working Papers 8417, National Bureau of Economic Research, Inc.
    5. Jianping Mei & Michael Moses, 2002. "Art as an Investment and the Underperformance of Masterpieces," American Economic Review, American Economic Association, vol. 92(5), pages 1656-1668, December.
    6. Anderson, Robert C, 1974. "Paintings as an Investment," Economic Inquiry, Western Economic Association International, vol. 12(1), pages 13-26, March.
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