Art as investment

Resumo

This paper applies the Fama-French three-factors model, augmented with Momentum and Liquidity factors, to analyze Art as an Investment. It also compares investing in Art to several other traditional and non-traditional investments. There is evidence that Market and Momentum factors explain the risk premia in some Art sub-segments. The Market Beta, in particular, is lower than what is found in the existing literature, whereas the Momentum factor might explain part of the premia of Contemporary Art and Old Masters. There is no evidence, however, that Art and its subsegments command a Liquidity premium. The paper also discusses the efficient share of Art in a diversified portfolio.

Ficha do documento

Tipo

Estudo

Ano

2022

Instituição

Escola de Economia de São Paulo

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/31721

Temas

Economia

Palavras-chave

Art marketArt as investmentArt in the portfolioAlternative investmentsRisk-premiumFama-French 3-factorsMarket betasMomentumLiquidityPortfolio diversificationEfficient frontierEconomiaArte - ComercializaçãoArte como investimentoInvestimentos - AdministraçãoModelo de precificação de ativosLiquidez (Economia)