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Art as a Financial Investment: Estimation of Art Returns and Portfolio Diversification
Konstantinova, Elizaveta ; Chytilová, Julie (advisor) ; Korbel, Václav (referee)
The thesis at hand examines risk, return and portfolio diversification oppor- tunities of the art market. In order to analyse price dynamics at the peculiar and unique art market scene and provide a reader with a basic understanding of the requirements for undertaking investment in this field several trends dominating in the art market abreast with the main art price determinants and risks are investigated. Based on the repeat sales data encompassing the period from 2000 to 2015, the art price indices have been estimated using both standard and three-stage weighted methods. Beyond a standard risk and return analysis of various art sectors compared with traditional invest- ment vehicles, this thesis also focuses on the performance of art with respect to the investment horizon. We conclude that longer holding period may be more beneficial than shorter one in terms of both return per unit of risk and costs per unit of time. However, in common with the literature in this area, the results suggest that the risk and return characteristics of art are inferior to the risk and return characteristics of financial assets and despite the low levels of correlation we have found no support for the inclusion of art in the mixed-asset portfolio. JEL Classification C13, C41, C61, D43, D44, G11, G14, Z11 Keywords art;...
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