Published dissertations on art markets can provide
Note that Sotheby's Ph.D. program is included in the PQDT (Proquest Dissertations and Theses).
PQDT - All dissertations and many master's theses granted in the United States and Canada. Nearly all Full text pdf.
Reitlinger, Gerald. The economics of taste. London, Barrie and Rockliff [1961-70] Lilly Reference N8675 .R44 1961 - the original study of economics and tastes. Essentially no data, examining 18th-century market trends.
Pedigree and panache : a history of art auction in Australia / Shireen Huda. Canberra, ACT : ANU E Press, 2008. Law Library N8605.A8 H83 2008 - a recent study of the market in Australia.
Velthuis, Olav. Talking prices : symbolic meanings of prices on the market for contemporary art / Olav Velthuis.
Princeton, N.J. : Princeton University Press, c2005. Lilly N6490 .V375 2005 - sociological view of the art market in the 20th century.
Galenson, David W. The careers of modern artists : evidence from auctions of contemporary paintings / David W. Galenson.
Cambridge, MA : National Bureau of Economic Research, c1997. Law Library HB1 .N37 no.6331 - a working paper with some important methodological observations on analyzing the modern art market.
Thompson, Don. The $12 million stuffed shark : the curious economics of contemporary art and auction houses / Don Thompson. London : Aurum, c2008. Lilly Library N8600 .T56 2008 - Damien Hirst in extremis.