Aylin Seçkin

Bio: Aylin Seçkin is an academic researcher. The author has contributed to research in topics: Hedonic index & Investment (macroeconomics). The author has an hindex of 4, co-authored 6 publications receiving 73 citations.

On the valuation of psychic returns to art market investments

Abstract: Investing in art objects yields financial and psychic returns The psychic returns arise since art has a superior consumption good aspect as well The question is whether it is possible to measure the psychic returns One valuation method for estimating the psychic returns to investing in artworks is their rental price Here, we make use of the prices charged by a Canadian fine art company for its art rental services and calculate the implied psychic returns to be about 28 percent Next, we review the finance-theoretic approaches to measuring the psychic returns to investing in artworks We follow Hodgson and Vorkink's (2004, Canadian Journal of Economics) suggestion that the alpha parameter in the CAPM captures the extent of net psychic returns The evidence on alpha from the art market applications of the CAPM coupled with the transaction cost data from international art auctions also suggests that the psychic returns to investing in artworks might amount to about 28 per cent

An analysis of the price dynamics between the Turkish and the international paintings markets

Abstract: We examine the dynamics of the relationships between the prices in Turkish paintings auctions and international art markets during 1990–2005 using cointegration and Granger-causality tests. We also estimate the Capital Asset Pricing Model (CAPM) relationship between the Turkish and the global paintings markets. In our investigations, we employ a hedonic price index based on 1030 paintings by 13 Turkish painters and the global paintings market index as calculated by Artprice©. We find that the prices in the Turkish paintings market move in line with the international art markets in the long term. As expected, the direction of causality runs unilaterally from the international paintings market to the Turkish paintings market. The CAPM beta values were found to be unstable over time and not statistically significant at conventional levels. Hence, international art investors might be able to benefit from the higher returns in the Turkish paintings market while diversifying their art portfolios, especially in ...

Art and the Economy: A First Look at the Market Paintings in Turkey

Abstract: We investigate the relationships between the return on investments in paintings and other financial investments in Turkey. To this aim, we estimate a hedonic price index for a portfolio of Turkish painters. We find that investing in the market for paintings is a viable alternative even in an environment of high inflation and large macroeconomic volatility. The portfolio under investigation yielded a small but positive real return. Still, stock market returns are higher than the returns in the art market. Furthermore, we find a rather high correlation between stock returns and art market returns. However, the returns to investing in paintings are negatively correlated with the returns on traditional investment alternatives in a developing country context, such as foreign exchange, gold, and bank deposits. Hence, there might exist some room for portfolio diversification. Nevertheless, the time horizon of the investments is a key factor especially in portfolios involving art objects.

Investment characteristics of the market for paintings in Turkey: 1990-2005

Abstract: This study examines the auction markets for paintings in Turkey for the 1990-2005 period. We use a unique dataset of 4431 auction sale records for paintings by 74 Turkish painters and calculate hedonic price indices. Using this sample, we also estimate a separate price index for oil paintings based on 3365 observations. In addition, we estimate the CAPM relationship between the Turkish paintings market and the Istanbul Stock Exchange. Our findings show that investing in the paintings market provided positive real returns which indeed exceed those of stocks, gold, bank deposits, and holding foreign exchange. Furthermore, the returns to oil paintings were found to exceed those in the overall paintings market. Interestingly, and contrary to the general findings in the literature, the volatility of the art market returns turned out to be lower than that of the Istanbul Stock Exchange (ISE 100). Using the capital asset pricing model, we have also found that the beta of the art market investments vis-à-vis the ISE 100 is less than unity. Overall, we conclude that investing in the art market provides a hedge against inflation and might also lead to portfolio diversification opportunities – given a longer investment horizon.

A Heckit Model of Sales Dynamics in Turkish Art Auctions: 2005-2008

Abstract: Unsold artworks are excluded from a traditional hedonic price index as no observable price can be attached to them. The question is whether the exclusion of unsold artworks lead to a sample selection bias in the traditionally constructed art price indices. In this paper, we examine the art auction sales performance in Turkey for the period between January 2005 and February 2008 using a unique database which contains 11,212 sales records including unsold items. We employ the two-stage Heckit model. Our empirical model combines demand-side influences with supply-side characteristics as well as the auction microstructure. We find that there is no sample selection bias created by unsold works. This finding also provides an explanation for why the attempts in the literature to identify which works are (not) sold turned out to be largely unsuccessful. On the behavioural side, we confirm the existence of the âafternoon effectâ in both sales rates and in sales prices in Turkish art auctions. There is also some evidence for the âdeath effectâ and âmaster effectâ in both sales rates and sales prices. Finally, we find that the returns in the Turkish art market serve as a hedge against inflation in our sample period.

Art as an investment: short and long-term comovements in major painting markets

Abstract: This paper examines the short and long-term price linkages among major art and equity markets over the period 1976-2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US paintings. A global equity index (with dividends and capitalisation changes) is also included. Multivariate cointegration procedures, Granger non-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to analyse short and long-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant short and long run causal linkages between the various painting markets and between the equity market and painting markets. However, in terms of the percentage of variance explained most painting markets are relatively isolated, and other painting markets are generally more important than the equity market in explaining the variance that is not caused by innovations in the market itself. This suggests that opportunities for portfolio diversification in art works alone and in conjunction with equity markets exist, though in common with the literature in this area the study finds that the returns on paintings are much lower and the risks much higher than in conventional financial markets.

Volatility of price indices for heterogeneous goods

Abstract: Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets. This may seem surprising as derivatives on subsets of the traded goods require a precise modelling and estimation of the underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put options. In this paper we propose a hedonic regression framework which explicitly defines an underlying stochastic process for the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using maximum likelihood in combination with the Kalman filter. We derive theoretical properties of the volatility estimator and show that it outperforms the standard estimator. We show that extensions to allow for time-varying volatility are straightforward using a local-likelihood approach. In an application to a large data set of international blue chip artists, we show that volatility of the art market, although generally lower than that of financial markets, has risen over the last years and, in particular, during the recent European debt crisis.

An analysis of the price dynamics between the Turkish and the international paintings markets

Abstract: We examine the dynamics of the relationships between the prices in Turkish paintings auctions and international art markets during 1990–2005 using cointegration and Granger-causality tests. We also estimate the Capital Asset Pricing Model (CAPM) relationship between the Turkish and the global paintings markets. In our investigations, we employ a hedonic price index based on 1030 paintings by 13 Turkish painters and the global paintings market index as calculated by Artprice©. We find that the prices in the Turkish paintings market move in line with the international art markets in the long term. As expected, the direction of causality runs unilaterally from the international paintings market to the Turkish paintings market. The CAPM beta values were found to be unstable over time and not statistically significant at conventional levels. Hence, international art investors might be able to benefit from the higher returns in the Turkish paintings market while diversifying their art portfolios, especially in ...