Pricing art and the art of pricing: On returns and risk in art auction markets
利用过去60年全球交易数据，研究绘画和素描的价格决定因素与投资表现，发现其真实年回报率为2.49%，风险回报比低于股票、债券和黄金，但高于大宗商品和房地产。
Abstract We study price determinants and investment performance of art using a vast sample of transactions worldwide over the past 60 years. We focus on paintings and drawings which have appreciated at a real (nominal) annual return of 2.49% (6.24%). Higher art returns are reached for paintings at the high end of the price distribution, oil paintings, more recent art movements and transactions by reputable auction houses. The risk–return trade‐off of paintings underperforms that of other passion investments. Paintings' Sharpe ratios are below those of stocks, bonds and gold but outperform those of commodities and real estate. Investments in paintings enter the optimal investment portfolio.