Machine learning, human experts, and the valuation of real assets
- We study the accuracy and usefulness of automated (i.e., machine-generated) valuations for illiquid and heterogeneous real assets. We assemble a database of 1.1 million paintings auctioned between 2008 and 2015. We use a popular machine-learning technique—neural networks—to develop a pricing algorithm based on both non-visual and visual artwork characteristics. Our out-of-sample valuations predict auction prices dramatically better than valuations based on a standard hedonic pricing model. Moreover, they help explaining price levels and sale probabilities even after conditioning on auctioneers’ pre-sale estimates. Machine learning is particularly helpful for assets that are associated with high price uncertainty. It can also correct human experts’ systematic biases in expectations formation—and identify ex ante situations in which such biases are likely to arise.
Author: | Mathieu AubryORCiD, Roman KräusslORCiDGND, Gustavo Manso, Christophe SpaenjersORCiD |
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URN: | urn:nbn:de:hebis:30:3-515969 |
URL: | https://ssrn.com/abstract=3478851 |
Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 635 |
Series (Serial Number): | CFS working paper series (635) |
Publisher: | Center for Financial Studies |
Place of publication: | Frankfurt, M. |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2019 |
Year of first Publication: | 2019 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2019/11/04 |
Tag: | art; asset valuation; auctions; big data; computer vision; experts; machine learning |
Issue: | June 23, 2019 |
Page Number: | 38 |
HeBIS-PPN: | 456513329 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
JEL-Classification: | C Mathematical and Quantitative Methods / C5 Econometric Modeling / C50 General |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |