Abstract

http://ssrn.com/abstract=1352363
 
 

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Buying Beauty: On Prices and Returns in the Art Market


Luc Renneboog


Tilburg University - Department of Finance; European Corporate Governance Institute (ECGI); Tilburg Law and Economics Center (TILEC)

Christophe Spaenjers


HEC Paris - Finance Department

April 22, 2012

Management Science, Vol. 59, No. 1, 2013

Abstract:     
This paper investigates the price determinants and investment performance of art. We apply a hedonic regression analysis to a new data set of over one million auction transactions of paintings and works on paper. Based on the resulting price index, we conclude that art has appreciated in value by a moderate 3.97% per year, in real U.S. dollar terms, between 1957 and 2007. This is a performance similar to that of corporate bonds – at much higher risk. A repeat-sales regression on a subset of the data demonstrates the robustness of our index. Next, quantile regressions document larger average price appreciations (and higher volatilities) in more expensive price brackets. We also find variation in historical returns across mediums and movements. Finally, we show that measures of high-income consumer confidence and art market sentiment predict art price trends.

Number of Pages in PDF File: 33

Keywords: art, auctions, hedonic regressions, investments, repeat-sales regressions, sentiment

JEL Classification: Z11, G11, E21

Accepted Paper Series


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Date posted: March 3, 2009 ; Last revised: March 13, 2013

Suggested Citation

Renneboog, Luc and Spaenjers, Christophe, Buying Beauty: On Prices and Returns in the Art Market (April 22, 2012). Management Science, Vol. 59, No. 1, 2013. Available at SSRN: http://ssrn.com/abstract=1352363 or http://dx.doi.org/10.2139/ssrn.1352363

Contact Information

Luc Renneboog (Contact Author)
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Warandelaan 2
5000 LE Tilburg
Netherlands
+13 31 466 8210 (Phone)
+13 31 466 2875 (Fax)
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Tilburg Law and Economics Center (TILEC)
Warandelaan 2
Tilburg, 5000 LE
Netherlands
Christophe Spaenjers
HEC Paris (Groupe HEC) - Finance Department ( email )
1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

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