Art as an Asset: Evidence from Keynes the Collector
32 Pages Posted: 9 Sep 2015 Last revised: 30 Aug 2017
Date Written: August 22, 2017
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: Suggested Citation