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Buying Beauty: On Prices and Returns in the Art Market

Listed author(s):
  • Christophe Spaenjers

    (HEC Paris - Recherche - Hors Laboratoire - GROUPE HEC)

  • Luc Renneboog

    (Department of Finance - Tilburg University)

This paper investigates the price determinants and investment performance of art. We apply a hedonic regression analysis to a new data set of more than one million auction transactions of paintings and works on paper. Based on the resulting price index, we conclude that art has appreciated in value by a moderate 3.97% per year, in real U.S. dollar terms, between 1957 and 2007. This is a performance similar to that of corporate bonds--at much higher risk. A repeat-sales regression on a subset of the data demonstrates the robustness of our index. Next, quantile regressions document larger average price appreciations (and higher volatilities) in more expensive price brackets. We also find variation in historical returns across mediums and movements. Finally, we show that measures of high-income consumer confidence and art market sentiment predict art price trends.

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Paper provided by HAL in its series Post-Print with number hal-00784069.

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Length:
Date of creation: Jan 2013
Publication status: Published in Management Science, INFORMS, 2013, 59 (1), pp.36-53. <10.1287/mnsc.1120.1580>
Handle: RePEc:hal:journl:hal-00784069
DOI: 10.1287/mnsc.1120.1580
Note: View the original document on HAL open archive server: https://hal-hec.archives-ouvertes.fr/hal-00784069
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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