Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective

• 成果类型: Article
• 署名作者: Korteweg, Arthur; Kraeussl, Roman; Verwijmeren, Patrick
• 署名单位: University of Southern California; University of Luxembourg; Emory University; University of Melbourne; University of Glasgow
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv062
• 发表日期: 2016
• 页码: 1007
• 关键词: house price indexes; FLOATING CRAP GAME; sample-selection; AUCTION MARKET; MODERN PRINTS; BIAS; disposition; RISK; reluctant; realize

摘要

This paper shows the importance of correcting for sample selection when investing in illiquid assets that trade endogenously. Using a sample of 32,928 paintings that sold repeatedly between 1960 and 2013, we find an asymmetric V-shaped relation between sale probabilities and returns. Adjusting for the resulting selection bias reduces average annual index returns from 8.7% to 6.3%, lowers Sharpe ratios from 0.27 to 0.11, and materially impacts portfolio allocations. Investing in a broad portfolio of paintings is not attractive, but targeting specific styles or top-selling artists may add value. The methodology naturally extends to other asset classes.