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Evaluation of Contemporary art as an alternative investment
Havlovicová, Alice ; Vácha, Lukáš (advisor) ; Hronec, Martin (referee)
Bibliographic note HAVLOVICOVÁ, Alice. Evaluation of Contemporary art as an alternative in- vestment Prague 2020. 66 pp. Bachelor thesis (Bc.) Charles University, Faculty of Social Sciences, Institute of Economic Studies. Thesis supervisor Mgr. Lukáš Vácha, Ph.D. Abstract This thesis investigates the investment performance of contemporary art. In order to analyze the risks and returns of the unique art market environment, the reader is presented with the market specifics, trends, and inefficient. The financial performance of contemporary art is estimated by means of extended models of hedonic regression and repeat-sales regression. Both methods allowš for the treatment of volatility of the art market caused by the infrequency of trading, resulting in two monthly contemporary art market indices. The in- dices are estimated based on auction results of contemporary art spanning from 2003 to 2015, including all artworks sold at least once, which presents a general overview of the contemporary art market. In line with the academic literature on the topic of art investment, the results suggest lower returns of contemporary art than traditional financial assets. Volatility and Sharpe ratios differ in the two indices. Based on the resulting price indices, we conclude that contempo- rary art presents moderate returns...
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Fine Watches as an Investment: Index Creation and Portfolio Selection
Harant, Evžen ; Chytilová, Julie (advisor) ; Malířová, Tereza (referee)
This thesis performs a risk-return analysis and examines portfolio diversi- fication opportunities of fine watches. To provide the reader with a basic understanding of the watch market and its functioning, main incentives, price determinants, and risks are studied. To effectively analyse price dy- namics on fine-watch market, the dataset including data from major auction houses and encompassing the period between 2006 and 2017 is created. Due to the unique nature of fine-watch market scene, the price index is then estimated with repeat sales method using original, three-stage, and three- stage flexible methods. Beyond the creation of price index, the portfolio analysis is performed and the thesis further focuses on potential benefits of watch index's inclusion in optimal portfolio. We find evidence that fine watches are potentially a good diversification tool due to its close-to-zero correlation with other chosen asset classes. However, computed risk-return characteristics shows a suboptimality of watch index relative to all selected assets except for two equity indices, NIKKEI 225 and EURO STOXX 50. As a result, we find no evidence of beneficial effect of fine watches' inclusion in portfolio. Keywords Watches, Financial Markets, Fine Watches, Investment, Portfolio Theory, Repeat Sales Method, Auction
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