Monthly Art Market Returns

28 Pages Posted: 5 Dec 2017  

Fabian Bocart

Artnet Worldwide Corporation

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Christian Hafner

Catholic University of Louvain (UCL) - School of Statistics; Tinbergen Institute

Date Written: November 30, 2017

Abstract

We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other markets, typically with higher liquidity and high frequency trading. Using the new econometric approach, we propose a monthly art market index, as well as sub-indices for Impressionist, Modern, Post-War, and Contemporary paintings based on repeated sales at a monthly frequency. The correlations enable us to update the art index via observed transactions in other markets that have a link with the art market. In terms of Sharpe ratio we find that Contemporary art appears to perform almost as well as the S&P 500. Nevertheless, Art and Luxury goods companies show better performance numbers than any of the art indices. Interestingly, real estate is not as attractive as Contemporary and Post War art in terms of Sharpe ratios. None of the art index returns load significantly on momentum or liquidity factors, let alone the Fama-French factors. The most remarkable result pertains to the Contemporary art market index. In a sample up to the financial crisis the alpha and beta of the index feature the performance of a respectable hedge fund.

Keywords: art index, repeated sales, correlation

JEL Classification: C14, C43, Z11

Suggested Citation

Bocart, Fabian and Ghysels, Eric and Hafner, Christian, Monthly Art Market Returns (November 30, 2017). Available at SSRN: https://ssrn.com/abstract=3080464 or http://dx.doi.org/10.2139/ssrn.3080464

Fabian Bocart

Artnet Worldwide Corporation ( email )

233 Broadway
Floor 26
New York City, NY 10279
United States

Eric Ghysels (Contact Author)

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://www.unc.edu/~eghysels/

Christian Hafner

Catholic University of Louvain (UCL) - School of Statistics ( email )

Voie du Roman Pay
34 B-1348 Louvain-La-Neuve, 1348
Belgium

Tinbergen Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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