The Estimation of Quality‐adjusted Rates of Return in Stamp Auctions
针对邮票拍卖市场中资产质量差异导致价格变化混杂的问题，应用时间序列信号提取方法估计质量调整后的回报率和价格指数，并探讨邮票作为投资品的特征。
ABSTRACT The stamp auction market exemplifies markets in which a dominant feature is the quality variation in the traded assets. The observed price changes are a mixture of the “true” price change and the quality variation. This paper applies the time series signal extraction method to obtain estimates of quality‐adjusted rates of return and quality‐adjusted price indexes for stamp auction price series. The method is applicable to other areas in which there is quality variation or in which values are observed with error. Some features of stamps as an investment are also examined.