Art as an Asset: Evidence from Keynes the Collector
通过分析凯恩斯收藏品的长期持有表现，发现其收益远超市场指数，并揭示了交易风险、买家异质性、收益偏度和组合集中度等导致投资者收益与市场收益偏离的关键因素。
Abstract The risk-return characteristics of art as an asset have been previously studied through aggregate price indexes. By contrast, we examine the long-run buy-and-hold performance of an actual portfolio, namely, the collection of John Maynard Keynes. We find that its performance has substantially exceeded existing estimates of art market returns. Our analysis of the collection identifies general attributes of art portfolios crucial in explaining why investor returns can substantially diverge from market returns: transaction-specific risk, buyer heterogeneity, return skewness, and portfolio concentration. Furthermore, our findings highlight the limitations of art price indexes as a guide to asset allocation or performance benchmarking. Received: September 7, 2018: Editorial decision: November 24, 2019 by Editor: Nikolai Roussanov