Art as an Investment: Risk, Return and Portfolio Diversification in Major Painting Markets
Art as an Investment: Risk, Return and Portfolio Diversification in Major Painting Markets
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艺术作为一种投资：主要绘画市场的风险、回报和投资组合多元化
DOI：
10.1111/j.1467-629x.2004.00108.x
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
H. Higgs
中科院分区：
文献类型：
--
作者：
A. Worthington;H. Higgs
本文考察了1976-2001年期间主要绘画和金融市场的风险、回报和投资组合多元化的前景。检查的艺术市场是当代大师，法国印象派，现代欧洲，19世纪欧洲，老大师，超现实主义，20世纪英国和现代美国绘画。金融市场包括美国国库券、公司和政府债券以及小型和大型公司股票。与这一领域的文献一样，研究发现，绘画的回报率要低得多，风险要高于传统的投资市场。此外，虽然低相关性的回报表明，投资组合的机会，分散在艺术作品单独和与股票市场的存在，马科维茨均值方差有效的投资组合的建设表明，没有多样化的收益提供艺术金融资产组合。然而，仅由艺术作品组成的投资组合的多元化收益是可能的，当代大师，19世纪欧洲，古代大师和20世纪英国绘画在所讨论的时期占据了有效的前沿。
This paper examines risk, return and the prospects for portfolio diversification among major painting and financial markets over the period 1976-2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US paintings. The financial markets comprise US Treasury bills, corporate and government bonds and small and large company stocks. In common with the literature in this area, the study finds that the returns on paintings are much lower and the risks much higher than conventional investment markets. Moreover, while low correlations of returns suggest that opportunities for portfolio diversification in art works alone and in conjunction with equity markets exist, the construction of Markowitz mean-variance efficient portfolios indicates that no diversification gains are provided by art in financial asset portfolios. However, diversification benefits in portfolios comprised solely of art works are possible, with Contemporary Masters, 19th Century European, Old Masters and 20th Century English paintings dominating the efficient frontier during the period in question.