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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26539
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| Title: | Art as an Investment and the Underperformance of Masterpieces |
| Authors: | Mei, Jiangping
Moses, Michael |
| Issue Date: | Aug-2001 |
| Series/Report no.: | FIN-01-012 |
| Abstract: | This paper constructs a new data set of repeated sales of artworks and
estimates an annual index of art prices for the period 1875-2000.
Contrary to earlier studies, we find art outperforms fixed income
securities as an investment, though it significantly under-performs
stocks in the US. Art is also found to have lower volatility and lower
correlation with other assets, making it more attractive for portfolio
diversification than discovered in earlier research. There is strong
evidence of underperformance of masterpieces, meaning expensive
paintings tend to under-perform the art market index. A further study
reveals that the underperformance could be consistent with overbidding
at auctions. The evidence is mixed on whether the "law of one
price" holds in the New York auction market. |
| URI: | http://hdl.handle.net/2451/26539 |
| Appears in Collections: | Finance Working Papers
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