Art as an Asset: Evidence from Keynes the Collector

39 Pages Posted: 26 Feb 2020 Last revised: 11 Mar 2020

See all articles by David Chambers

David Chambers

University of Cambridge - Judge Business School; CEPR

Elroy Dimson

University of Cambridge - Judge Business School; European Corporate Governance Institute (ECGI)

Christophe Spaenjers

University of Colorado Boulder - Leeds School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: October 5, 2019

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.

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 (October 5, 2019). 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 ( email )

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

CEPR ( email )

London
United Kingdom

Elroy Dimson

University of Cambridge - Judge Business School ( email )

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

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Christophe Spaenjers (Contact Author)

University of Colorado Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

HOME PAGE: http://christophespaenjers.com

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