There's More Than Meets the Eye: Looking at Art as an Alternative Investment Público
Levenkron, Hannah (2011)
Abstract
Abstract
There's More Than Meets the Eye: Looking at Art as an Alternative
Investment
By Hannah Levenkron
This paper examines prices and returns of the paintings of the
world's top 500 artists. I compared
this index to other financial assets, including the S&P 500
index, ten-year government bonds,
and three-month treasury bills. I use these comparisons to observe
fine art as an alternative
investment over the period 1960 - 2010. Based on the art index, I
found that art realizes an
annual return of 12%, the highest of all the financial assets. It
also has a high standard deviation
and low Sharpe Ratio, which indicates that art is a very risky
asset. My CAPM regression results
show that art has a market beta of .79 and it correlates positively
with equities, having a
correlation coefficient of 13.9%. These results show that art is
not an attractive alternative
investment to stocks. I also performed autoregression analysis and
found that the art index leads
the S&P 500 index and the art market has recovered quicker from
the recent financial crisis than
the equity market. These results show that art might be a good
predictor of the future state of the
world's economy. However, despite its high returns, art has a lot
of risk, which makes it an
unappealing investment.
Table of Contents
Table of Contents
1. Introduction
2. Background Literature
3. The Subjectivity of Art
4. Methdology
5. Results
6. Conclusion
Appendix
References
About this Honors Thesis
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