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

32 Pages Posted: 17 Nov 2004  

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Johan Walden

University of California, Berkeley - Finance Group

Mauro M. Maggioni

Yale University - Department of Mathematics

Peter Jones

Yale University - Department of Mathematics

Date Written: September 15, 2004

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 with what we intuitively think of as style. We use a recently developed clustering algorithm to group artists that represent similar styles. This algorithm is specifically well-suited for situations where statistical distributions are far from normal - A description we believe fits well with markets for art. We test the method empirically on a ten-year sample of price data for paintings by 58 artists. Even with this limited data set, we clearly identify five groups and show that these are related to a standard classification of style.

JEL Classification: G11, G12

Suggested Citation

Goetzmann, William N. and Walden, Johan and Maggioni, Mauro M. and Jones, Peter, Beauty is in the Bid of the Beholder: An Empirical Basis for Style (September 15, 2004). Yale ICF Working Paper No. 04-46. Available at SSRN: https://ssrn.com/abstract=621821

William N. Goetzmann (Contact Author)

Yale School of Management - International Center for Finance ( email )

165 Whitney Ave.
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Johan Walden

University of California, Berkeley - Finance Group ( email )

545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States
(510) 643-0547 (Phone)

HOME PAGE: http://www.haas.berkeley.edu/faculty/walden.html

Mauro M. Maggioni

Yale University - Department of Mathematics ( email )

New Haven, CT 06520
United States

Peter W. Jones

Yale University - Department of Mathematics ( email )

New Haven, CT 06520
United States

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