Current students enrolled in SIA Masters programs have access to several databases that provide such information found on our eresources page.
If you are a summer student or not affiliated with SIA you may want to consult Art Sales Index, a free resource.
"Art Sales Index contains 4.9 million auction sale results for paintings, watercolors, drawings, sculptures, and selected prints & photographs from 1922 to the present. The Art Sales Index online database includes over 255,000 artists and 350 auction houses"