Return and Pricing Analysis in Tehran Painting Auction using the Capital Asset PricingModel

In order to calculate Tehran Painting Auction’s price index and the pricing of artwork sold atTehran Painting Auction, we reviewed works sold from 2012 to 2017. There have been 522works sold in these years.We used hedonic regression to estimate the index and the return on thepainting auction, and we examined the effect of different variables on the sales price of artworksand finally, calculated the price index of Tehran Painting Auction for the 2012-2016 period. Weobtained the return on Tehran Painting Auction using the measured indices. Then, in the secondpart, using the Capital Asset Pricing Model (CAPM) and the return obtained in the first section,we demonstrated whether or not CAPM can measure price fluctuations in Tehran PaintingAuction.

Keywords:

Auction of art , index price , CAPM model