Art as an Asset: Evidence from Keynes the Collector

42 Pages Posted: 11 Feb 2020 Last revised: 2 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; London Business School; European Corporate Governance Institute (ECGI)

Christophe Spaenjers

HEC Paris - Finance Department

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Date Written: January 2020

Abstract

The risk-return characteristics of art as an asset have been previously 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 substantially diverge 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.

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 (January 2020). CEPR Discussion Paper No. DP14357. Available at SSRN: https://ssrn.com/abstract=3535441

David Chambers (Contact Author)

University of Cambridge - Judge Business School ( email )

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CEPR ( email )

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Elroy Dimson

University of Cambridge - Judge Business School ( email )

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London Business School ( email )

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European Corporate Governance Institute (ECGI) ( email )

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Christophe Spaenjers

HEC Paris - Finance Department ( email )

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Jouy-en-Josas Cedex, 78351
France

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