Work detail

Art as a Financial Investment: Estimation of Art Returns and Portfolio Diversification

Author: Bc. Elizaveta Konstantinova
Year: 2017 - summer
Leaders: doc. PhDr. Julie Chytilová Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 86
Awards and prizes:
Link:
Abstract: The thesis at hand examines risk, return and portfolio diversification opportunities
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 investment
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.

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