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...

Real estate markets in emerging economies are beset with price opacity, low transaction volumes and perverse incentives on tax evasion, leading to acute shortage of reliable price information. In this paper, we overcome the paucity of reliable price information in emerging markets through a...