Show simple item record

dc.contributor.authorChambers, Daviden
dc.contributor.authorDimson, Elroyen
dc.contributor.authorSpaenjers, Cen
dc.date.accessioned2020-01-06T12:56:04Z
dc.date.available2020-01-06T12:56:04Z
dc.date.issued2020-10en
dc.identifier.issn2045-9920
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/300494
dc.description.abstractThe risk-return characteristics of art as an asset have previously been studied through aggregate price indexes. By contrast, we examine the long-run buy-and-hold performance of an actual portfolio, namely the collection of John Maynard Keynes. We find that its performance has substantially exceeded existing estimates of art market returns. Our analysis of the collection identifies general attributes of art portfolios crucial in explaining why investor returns can diverge substantially from market returns: transaction-specific risk, buyer heterogeneity, return skewness, and portfolio concentration. Furthermore, our findings highlight the limitations of art price indexes as a guide to asset allocation or performance benchmarking.
dc.rightsAll rights reserved
dc.rights.uri
dc.titleArt as an asset: evidence from Keynes the collectoren
dc.typeArticle
prism.endingPage520
prism.issueIdentifier3en
prism.publicationDate2020en
prism.publicationNameReview of Asset Pricing Studiesen
prism.startingPage490
prism.volume10en
dc.identifier.doi10.17863/CAM.47566
dcterms.dateAccepted2019-11-25en
rioxxterms.versionofrecord10.1093/rapstu/raaa001en
rioxxterms.versionAM*
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2020-10en
dc.contributor.orcidDimson, Elroy [0000-0003-3776-7988]
dc.identifier.eissn2045-9939
rioxxterms.typeJournal Article/Reviewen
cam.issuedOnline2020-01-29en
cam.orpheus.successTue Mar 31 10:38:22 BST 2020 - Embargo updated*
cam.orpheus.counter2*
rioxxterms.freetoread.startdate2100-01-01


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record