Art Price Index Research Articles

Art in times of crisis

AbstractWe trace the long‐term performance of the UK art market across a broad set of crises: world wars, economic recessions, financial crises, inflationary periods, and changes in monetary policy. By means of digitalized historical auction archives, we construct art price indices from the early twentieth century onwards and disclose that annual art auction value grew, in real terms, more than seven‐fold over this period. The arithmetic annual real return and risk amount to 3.6 per cent and 20.1 per cent, respectively. Art returns plummeted at the onset of wars, but turned positive in the second half of wars when they outperformed stocks, suggesting that art was seen as a safe haven in times of political turmoil. During wars, smaller – and thus more transportable – paintings obtained higher returns. Art returns are sensitive to economic and financial crises, with the largest slumps occurring during the Great Depression, oil crisis, recessions of the early 1980s and early 1990s, and the Great Recession. We also document changes in art preferences for paintings’ sizes, schools, liquid art, and artists’ nationalities across crises. Art enters a broad optimal asset portfolio both in non‐crisis periods and during war times.

Is art market efficient? Evidence from non-linear quantile unit-root tests

ABSTRACT In this paper, we use quarterly stock price index data to test the weak form of the efficient market hypothesis for 13 art market indices. The fact that hypotheses can be efficiently tested by performing unit root tests is well known. The conventional unit root test results show that most art indices have unit roots, which means that these art markets are efficient. However, the results of the non-linear quantile unit root tests we conduct over a range of quantiles lead us to reject the null of the unit root test for several art markets. To acquire more information, we perform the test over sub-quantile intervals, finding asymmetric market efficiency between the low and high quantile intervals: we cannot reject the unit root null in upper quantile intervals for most art price indices.

Can art hedge against economic policy uncertainty?: New insights through the NARDL model

This paper uses the nonlinear autoregressive distributed lag (NARDL) model to investigate whether art can hedge economic policy uncertainty. We analyze the impact of the global economic policy uncertainty (GEPU) on the global overall art price and the art price indices divided by category and creative period. We find that only Old Masters can hedge against shocks from global economic policy uncertainty in the long-run. The results of this paper have relevant implications to investors and collectors in the art market. Investors and collectors can make more sensible trading and investment strategies based on the level of the economic policy uncertainty in a period of time. When the global economic policy uncertainty rises, investors can pay more attention to Old Masters.

Persistence in the passion investment market

Research on the passion investment market is still limited, especially on the issue of persistence. This paper is the first to investigate it using both R/S analysis and fractional integration in the case of 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly frequency. The results can be summarised as follows: wine prices are found to be highly persistent, whilst stamp prices appear to be only weakly persistent, though they can still be characterised as a long-memory process; as for diamond prices, they can be persistent (Diamonds & Gems), anti-persistent (Diamonds Carat indices) or even random (Polished Prices Diamond Index). The dynamic R/S analysis also shows that persistence is time-varying and tends to fluctuate around the average. These findings can be explained by the different degree of liquidity of the assets examined and have implications for both academics investigating market efficiency and practitioners interested in forecasting prices.

Measuring alternative asset prices in an emerging market: The case of the South African art market

Investments in alternative assets, such as art, are influenced by indices that measure price movements in these assets. This paper uses the South African art market to consider how different methodologies influence price estimates in a setting where repeated sales of the same artworks are limited. The focus is on estimating art prices in South Africa, based on a comprehensive database of South African art auctions. A new pseudo-repeat sales method is proposed, to overcome data limitations facing conventional hedonic and repeat sales methods. While the methods suggest similar trends in South African art prices, the levels and volatilities of the returns vary widely, depending on the method used to estimate the price index. The paper also introduces a test for price bubbles that accounts for the measurement error associated with constructed art price indices. Unlike indices based on central tendency methods, regression-based methods indicate mildly explosive prices for oil and watercolour art in South Africa, in the run-up to the global financial crisis. The new test suggests similar conclusions, but indicates shorter periods of explosive price behaviour.

An examination of the impact of COVID-19 on the financial markets and how this directs investment into the market for fine art

Orientation: The global financial markets have been severely affected by the influence of the Coronavirus Disease 2019 (COVID-19). Across the board, most of the financial markets have experienced a very sharp decrease in trade as a consequence of this pandemic. Investors sometimes choose to include such assets in order to diversify portfolios and also at the same time distribute risk away from the usual financial markets. As the global economy begun to falter under the influence of COVID-19, the value of holding fine art as an alternative investment increased. Research purpose: This article examines the implications of the impact of COVID-19 on the financial markets and the global art markets. This article explores the real impact of COVID-19 on the respective stock markets and then compared it against the global art price index, both in European euro and American dollar. Motivation for the study: The impact of COVID-19 will have numerous spill over effects into other sectors of the economy, one such sector being the market for fine art. Fine art as an investment item has many desirable qualities to an investor and can act as an alternative investment asset because of its ability to hold value. Research approach/design and method: Five financial markets are analysed in this study, namely the German DAX, the American Dow Jones, the Japanese Nikkei and the London Stock Exchange and the Johannesburg Stock Exchange (JSE), Financial Times Stock Exchange (FTSE), by using a combination of market simulations and forecast techniques, including Auto-Regressive Integrated Moving Average (ARIMA), Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH), Monte Carlo simulation and Minimum Mean Square Error (MMSE) techniques. The real impact of COVID-19 is assessed on the respective stock markets and then compared against the global art price index, both in European euro and American dollar. Main findings: The findings show that there is a significant positive influence on holding fine art as an alternative investment, especially as the levels of market risk increase because of COVID-19. Practical/managerial implications: The impact of an economic or social crisis has led to a diversification of trade in investments. Similar to currency portfolios been diverted into gold trade to mitigate risk due to political or social unrest, equity trading has mitigated some risk into alternative forms of investment. Contribution/value-add: This article highlights the nature of portfolio diversification into fine art as an alternative investment, brought about due to extreme market conditions.

Indexical Judgment: The Construction of Valuation Devices for Art and Antiques

The growth of models, metrics and indicators is a hallmark of the modern economy and contemporary markets. Yet there is little empirical research on how designers balance their goals and beliefs with the constraints and politics faced when developing important valuation devices. The special features of artworks as unique, difficult-to-value, and with a value based on social consensus, make the art market an excellent context to study such processes. Using two pioneering art price indices, the Times-Sotheby and Sotheby Index, we develop a theoretical framework to examine market indicator development. Through interviews with key figures and extensive documentary analysis, we trace the entwined forces of epistemic beliefs about the nature of value and available resources in valuation-producing organizations. The result is a process through which different modes of justification and commensurability interact as designers develop a workable set of valuation practices into systematic valuation devices. Our research contributes to research on organizational and calculative infrastructures underpinning markets, particularly in creating market indicators, and extends a growing literature linking strategy and valuation, particularly since strategic modification of indices is constrained by the need to maintain established methods for longitudinal comparison, a hallmark of many valuation devices.

Hedonic Pricing on the Fine Art Market

In conditions of the stock market instability the art assets could be considered as an attractive investment. The fine art market is very heterogeneous which is featured by uniqueness of the goods, specific costs and risks, various peculiarities of functioning, different effects and, hence, needs special treatment. However, due to the diversity of the fine art market’s goods and the absence of the systematic information about the sales, researchers do not come to the same opinion about the merits of the art assets conducting studies on single segments of the market. We make an attempt to investigate attractiveness of the fine art market for investors. Extensive data was collected to obtain a complete pattern of the market analyzing it within different segments. We use the Heckman model in order to estimate the art asset return and find out the most influential factors of art price dynamics. Based on the estimates obtained we construct monthly art price index and compare it with S&P500 benchmark.

Empirical Analysis of Investments on the Fine Art Market

In conditions of the stock market instability the art assets could be considered as an attractive investment. However, due to the heterogeneity of the fine art market's goods and the absence of the systematic information about the sales, researchers do not come to the same opinion about the merits of the art assets conducting studies on single segments of the market. We make an attempt to investigate attractiveness of the fine art market for investors. Extensive data was collected to obtain a complete pattern of the market analyzing it within different segments. We construct hedonic art price indexes using parametric and semi-parametric methodologies and assess the risk via CAPM model. The artworks in the high price sector are the potentially most profitable assets on the market, but the investments in paintings are associated with high risk.

Art as an Asset: Evidence from Keynes the Collector

Abstract The risk-return characteristics of art as an asset have been previously studied through aggregate price indexes. By contrast, we examine the long-run buy-and-hold performance of an actual portfolio, namely, the collection of John Maynard Keynes. We find that its performance has substantially exceeded existing estimates of art market returns. Our analysis of the collection identifies general attributes of art portfolios crucial in explaining why investor returns can substantially diverge from market returns: transaction-specific risk, buyer heterogeneity, return skewness, and portfolio concentration. Furthermore, our findings highlight the limitations of art price indexes as a guide to asset allocation or performance benchmarking. (JEL B26, C43, G11, G12, G14, Z11) Received: September 7, 2018: Editorial decision: November 24, 2019 by Editor: Nikolai Roussanov

The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches

This paper investigates the weak-form efficiency hypothesis for the art market. We consider 15 art price indices namely: Contemporary, Drawings, France, Global index (Euro), Global index (USD), Modern art, Nineteenth century, Old Masters, Paintings, Photographies, Postwar, Prints, Sculptures, UK and US. We use quarterly data from 1998:1 to 2015: 1. We employ both standard and non-parametric single and joint variance ratio tests while accounting for small sample bias through the use of the wild bootstrapping. We show that the majority of the art markets are inefficient with the exception of the Old Masters that consistently prove efficient under both individual and joint variance ratio tests. To a lesser extent Contemporary, US and UK markets are also efficient. However, confronting the data with both linear and nonlinear long memory models as robustness check, we observe that Paints, Prints, Photographies, Nineteenth century, Modern Art, US, France and Drawings have unit roots and are therefore efficient. Others such as Post war Sculpture, and Contemporary have values of the fractional parameter d significantly different from 0 to 1 and they may be considered efficient as well in a number of cases. The US and Contemporary art markets appear to be efficient irrespective of the method used.

Testing the Efficiency of the Art Market Using Quantile‐Based Unit Root Tests with Sharp and Smooth Breaks

This paper examines the efficiency market hypothesis for the art market using a novel nonlinear quantile‐based unit root test while accounting for sharp shifts and smooth breaks in the data. We use quarterly data which covers 1998:1 and 2015:1. Our analysis is based on 15 art price indices: Contemporary, Drawings, France, Global index (Euro), Global index (USD), Modern art, Nineteenth century, Old Masters, Paintings, Photographies, Postwar, Prints, Sculptures, UK and US. We find evidence of structural shifts and nonlinearity in the art indices. We cannot reject the null of unit root and/or stationarity in the art series based on the conventional linear unit root tests and quantile‐based test that did not account for structural breaks. However, when we use the same methods but accounting for sharp shifts and smooth breaks, we are able to reject the unit root null for each of the art indices. Further we find evidence of asymmetric behaviour in some of the indices: two global indices, Paintings, Prints, Sculptures, Modern art and Postwar, where unit root exist at some quantiles but not at others. Overall, our result suggest that the art market is inefficient. We provide some practical and policy implications of our findings.

Artwork characteristics and prices in the New Zealand secondary art market, 1988–2011

ABSTRACTUsing hedonic pricing, prices realised at auction are estimated against artwork characteristics for New Zealand for over 27,000 artworks by over 1600 artists. The data-set is larger and more representative of an art market, especially for lower prices, than all other art price studies. The number of works by each artist auctioned over the entire period is a measure of each artist's market presence. Sample selection bias created by unsold artworks is corrected using the Heckit method. Estimation results including the creation of the first New Zealand art price index are presented and interpreted.

Art investment in South Africa: Portfolio diversification and art market efficiency

Art has been suggested as a good way to diversify investment portfolios during times of financial uncertainty. The argument is that art exhibits different risk and return characteristics to conventional investments in other asset classes. The new Citadel art price index offered the opportunity to test this theory in the South African context. Moreover, this paper tests whether art prices are efficient. The Citadel index uses the hedonic regression method with observations drawn from the top 100, 50 and 20 artists by sales volume, giving approximately 29 503 total auction observations. The Index consists of quarterly data from the period 2000Q1 to 2013Q3. A vector autoregression of the art price index, Johannesburg stock exchange all-share index, house price index, and South African government bond index were used. Results show that, when there are increased returns on the stock market in a preceding period and wealth increases, there is a change in the Citadel art price index in the same direction. No significant difference was found between the house price index and the art price index, or between the art and government bond price indices. The art market is also found to be inefficient, thereby exacerbating the risk of investing in art. Overall, the South African art market does not offer the opportunity to diversify portfolios dominated by either property, bonds, or shares.

Art Investment in South Africa: Portfolio diversification and art market efficiency

Art has been suggested as a good way to diversify investment portfolios during times of financial uncertainty. The argument is that art exhibits different risk and return characteristics to conventional investments in other asset classes. The new Citadel art price index offered the opportunity to test this theory in the South African context. Moreover, this paper tests whether art prices are efficient. The Citadel index uses the hedonic regression method with observations drawn from the top 100, 50 and 20 artists by sales volume, giving approximately 29 503 total auction observations. The Index consists of quarterly data from the period 2000Q1 to 2013Q3. A vector autoregression of the art price index, Johannesburg stock exchange all-share index, house price index, and South African government bond index were used. Results show that, when there are increased returns on the stock market in a preceding period and wealth increases, there is a change in the Citadel art price index in the same direction. No significant difference was found between the house price index and the art price index, or between the art and government bond price indices. The art market is also found to be inefficient, thereby exacerbating the risk of investing in art. Overall, the South African art market does not offer the opportunity to diversify portfolios dominated by either property, bonds, or shares.

Study on the Art Price Index Including Non-Auction Market in Korea

Study on the Art Price Index Including Non-Auction Market in Korea

미술품의 경매와 가격 지수에 대한 조사 연구

본 연구에서는 미술품의 경매 현황에 대해 알아보고 미술품 가격 지수의 국외 및 국내 현황에 대해 조사한다. 경매는 공개된 경쟁 입찰을 통해 미술품의 창작자로부터 수집가로 통하는 시장의 역할을 수행한다. 미술품의 사적 거래를 통한 음성적인 거래가 아직은 큰 부분을 차지하고 있는 국내 미술품 시장의 현황에서 경매의 역사는 짧지만 양성적인 거래인 경매에 의한 효과가 크기 때문에 앞으로는 경매가 더욱 활성화 할 것이다. 미술품 가격 지수는 선진국에서는 투자자들에 대한 투자 지침으로 역할하며 개발되어 잘 활용되고 있다. 그러나 아직 국내에서는 미술품 가격 지수에 대한 개발역사가 일천하며 개발된 미술품지수조차도 널리 활용이 되지 않고 있는 실정이다. 경매에서 낙찰된 작품들에 대해서만 가격정보가 투명하게 공개되므로 경매는 가격지수 개발을 위한 필수적인 토대라고 할 수 있다. 본 연구에서는 선진국과 국내 미술품 가격 지수에 대한 비교를 통해 한국형 미술품 가격지수들의 특징과 활용방안에 대해 검토한다. In this paper, we survey the auction on the art and the art price index in the international and Korea art market. The auction plays a role on the art market from art creators to art collectors. The auction will grow because it utilizes the open art market. The art price index which is developed to give a guide in art investment. However, the history of art index is short and the developed art index is not well widely used. Since, the art price is opened in the auction, so it provides the necessary condition to develop art price index. In this study, we compare the foreign art price index with the domestic one and we examine the properties and utilization of the art price index in Korea.

Constructing hedonic art price indexes for the Polish painting market using direct and indirect approaches

espanolLas obras de arte pueden ser consideradas tanto desde la perspectiva de su atractivo estetico como desde el punto de vista de una oportunidad de inversion. La inversion en arte ha sido considerada como una alternativa de inversion con vistas a la diversificacion de la cartera, o como un colateral, especialmente en situaciones de incertidumbre en los mercados financieros. Sin embargo, se debe poner de manifiesto que las caracteristicas especificas de las obras de arte implica la imposibilidad de comparacion entre la inversion en arte y la inversion en activos convencionales. Para dar respuesta a la pregunta relativa a si la inversion en arte es o no una inversion acertada, es necesaria la estimacion de sus rendimientos esperados, lo cual implica la elaboracion del correspondiente indice de precios hedonicos. El objetivo de este articulo es el analisis de las obras de arte como activos de inversion y la elaboracion del indice de precios de las pinturas de 17 artistas polacos, precios que se negociaron en la mayoria de las ocasiones en subastas realizadas en Polonia en el periodo 2007-2013. A partir de los precios de 1.710 pinturas, se aplica la metodologia de indices hedonicos para la estimacion de los rendimientos de dicho mercado EnglishArtworks can be considered either as an aesthetic attraction or as an investment opportunity. Investing in art has been treated as an alternative investment asset used to diversify the portfolio or as collateral, especially during times of uncertainty in financial markets. It should, however, be noted that certain specific features of artworks mean that investment in art cannot be compared to investment in conventional assets. In order to decide whether art is a good investment, it is necessary to estimate the expected returns that might be generated by such an investment. This requires the development of an art price index. The aim of this paper is to examine artworks as investment assets and to construct a price index of paintings made up of 17 Polish artists whose artworks were most often traded at auctions held in Poland between 2007 and 2013. In our research, we employ data on 1710 objects and apply the hedonic index methodology to estimate returns from the paintings market

Indeks hedoniczny malarstwa polskiego dla najbardziej popularnych autorów na rynku aukcyjnym w latach 2007–2010

Situation at financial markets tend investors to look for alternative investments to diversify their portfolio. The aim of our research is evaluation of hedonic price index for selected Polish painters based on data from auctions of paintings held by auction houses and foundations in the years 2007–2010. The criterion of artworks selection is popularity of authors that is measured by the number of paintings sold in analyzed period. We construct and estimate several models for different sets of hedonic variables. On the basis of models parameter estimates the hedonic quality adjustment for the art price index is evaluated.

Construction Of Hedonic Price Index For The “Most Liquid” Polish Painters

Abstract Art market has been developing in Poland and the first Art Fund was established in 2011. Therefore it seems that investment in art can be considered as alternative form by Polish investors. In order to decide whether art is a good investment, it is necessary to evaluate expected returns which might be obtained from such investment thus an art price index should be developed. The aim of the paper is to discuss artworks as investment assets and evaluate price index of paintings produced by 11 Polish artists whose artworks were traded the most often on auctions that were held in Poland in the years 2007–2010. In our research, employing data concerning 750 objects, we apply the hedonic index methodology to estimate returns from the paintings market. The results of our investigation show that hedonic quality adjustment essentially influences evaluation of artwork prices therefore we propose the aggregated hedonic index which might better describe situation at the art market than the hedonic index biased by the specification of a single model.