Art as an asset: evidence from Keynes the collector
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Peer-reviewed
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Abstract
The 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.
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Keywords
38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services
Journal Title
Review of Asset Pricing Studies
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Journal ISSN
2045-9920
2045-9939
2045-9939
Volume Title
10
Publisher
Society for Financial Studies
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All rights reserved
Sponsorship
We thank the Centre for Endowment Asset Management (CEAM) at Cambridge University and its supporters, Invesco and Newton (to D. C. and E. D.); the J. M. Keynes Fellowship at Cambridge University (to D. C.); and ANR/Investissements d’Avenir [grant ANR-11-IDEX-0003/Labex Ecodec/ANR-11-LABX-0047] (to C. S.).