Art as an Investment and the Underperformance of Masterpieces
利用1875-2000年艺术品重复销售数据构建价格指数，发现艺术品投资回报优于固定收益证券但低于股票，波动性低且与其他资产相关性弱，适合分散投资；同时发现高价杰作往往跑输市场指数。
This paper constructs a new data set of repeated sales of artworks and estimates an annual index of art prices for the period 1875-2000. Contrary to earlier studies, we find art outperforms fixed income securities as an investment, though it significantly under-performs stocks in the US. Art is also found to have lower volatility and lower correlation with other assets, making it more attractive for portfolio diversification than discovered in earlier research. There is strong evidence of underperformance of masterpieces, meaning expensive paintings tend to underperform the art market index. The evidence is mixed on whether the law of one price holds in the New York auction market.