There's More Than Meets the Eye: Looking at Art as an Alternative Investment 公开

Levenkron, Hannah (2011)

Permanent URL: https://etd.library.emory.edu/concern/etds/z316q178t?locale=zh
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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


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