Convenience Yields of Collectibles

38 Pages Posted: 29 Nov 2023

See all articles by Elroy Dimson

Elroy Dimson

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

Kuntara Pukthuanthong

University of Missouri, Columbia

Blair Vorsatz

University of Chicago - Booth School of Business

Date Written: November 1, 2023

Abstract

We propose a novel method to estimate convenience yields of collectibles based on factor mimicking portfolios. Using up to 110 years of collectibles returns for 13 distinct asset classes, we apply machine learning techniques to address challenges from non- synchronous trading. We use these estimates to study how convenience yields affect equilibrium pricing. Convenience yield estimates for 24 of our 30 collectibles return series are positive, with an annualized mean (median) of 2.64% (2.53%). Despite various forms of underestimation, these results provide evidence that assets with positive emotional returns have lower equilibrium  financial returns. This  finding has important implications for ESG investing.

Keywords: Collectibles, convenience yields, emotional dividends, sustainable invest- ing, non-pecuniary returns, machine learning

JEL Classification: C14, C38, C55, G11, G14

Suggested Citation

Dimson, Elroy and Pukthuanthong, Kuntara and Vorsatz, Blair, Convenience Yields of Collectibles (November 1, 2023). Available at SSRN: https://ssrn.com/abstract=4619627 or http://dx.doi.org/10.2139/ssrn.4619627

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

Kuntara Pukthuanthong (Contact Author)

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: https://www.kuntara.net/

Blair Vorsatz

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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