Art as an Asset: Evidence from Keynes the Collector
39 Pages Posted: 26 Feb 2020 Last revised: 11 Mar 2020
Date Written: October 5, 2019
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.
Keywords: alternative investments; art; portfolios; price indexes; indivisible assets; concentration
JEL Classification: B26, C43, G11, G12, G14, Z11
Suggested Citation: Suggested Citation