The construction of hedonic price indices for fauvists’ paintings

This paper deals with the construction of the price indices for the works of art by Henri Matisse and Kees van Dongen. Two methodologies of index construction are compared: hedonic price regression and Heckit model. The latter takes into account the unsold paintings, which resolves the problem of self-selection bias of the sample and allows computation of more precise price indices. The results are the following: the dynamics of indices demonstrates the presence of negative masterpiece effect for paintings by Matisse. During these periods the return on paintings by less famous artist Kees van Dongen is higher. However according to the most of the estimates the risk measured by standard deviation is higher for him too.