Art as an Asset: Evidence from Keynes the Collector

32 Pages Posted: 9 Sep 2015 Last revised: 30 Aug 2017

See all articles by David Chambers

David Chambers

University of Cambridge - Judge Business School, Department of Finance & Accounting

Elroy Dimson

University of Cambridge - Judge Business School; London Business School

Christophe Spaenjers

HEC Paris - Finance Department

Date Written: August 22, 2017

Abstract

Art market returns have previously been inferred from equally-weighted price indexes. By contrast, we examine art portfolios. We do this through detailed analysis of the art collection of economist John Maynard Keynes. We conclude that there are four factors that can lead to considerable divergence of art portfolio returns from art market index returns: (1) transaction-specific risk, making time and place critically important in determining the price at which art transacts, (2) portfolio concentration, amplifying idiosyncratic risk, (3) return skewness, causing most portfolios to generate below-average performance, and (4) the importance of the non-auction purchase channel. We present implications for users of art price indexes.

Keywords: alternative investments; art; portfolios; price indexes; indivisible assets; concentration

JEL Classification: B26, C43, G11, G12, G14, Z11

Suggested Citation

Chambers, David and Dimson, Elroy and Spaenjers, Christophe, Art as an Asset: Evidence from Keynes the Collector (August 22, 2017). Available at SSRN: https://ssrn.com/abstract=2657741 or http://dx.doi.org/10.2139/ssrn.2657741

David Chambers

University of Cambridge - Judge Business School, Department of Finance & Accounting ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
44 (0)1223 339700 (Phone)

Elroy Dimson

University of Cambridge - Judge Business School ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+44 700 607 7390 (Fax)

London Business School ( email )

Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)

Christophe Spaenjers (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

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