Fabian Y. R. P. Bocart and Christian M. Hafner, "Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market", Journal of Applied Econometrics, Vol. 30, No. 15, 2015, pp. 291-312. The data used in this paper were provided by ARTNET AG who do not permit open access to raw data. Hence the data cannot be lodged here. The database was extracted from a larger dataset that cannot be freely downloaded, but can be browsed on the website www.artnet.com in the section "Art Valuation" --> artnet Price Database. Enquiries concerning direct access to this database should be addressed to artnet AG, Oranienstrasse 164, 10969 Berlin, Germany The analysis in the paper is based on 12643 transactions of paintings made by 40 artists, observed in 297 auction rooms wordlwide between the 26th of January 2000 and the 31st of March 2012. Variables available in this database were: Nationality, first name and last of each artist as well as her birthday and day of death if applicable, height and width in cm, date of the sale, price of the transaction in USD, whether the price is "premium" or "hammer" (ie, including auction house buyer's fees or not), the name of the auction house where the sale happened and the medium of the painting.