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Long- and short-term portfolio choices of paintings

Author

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  • Renato G. Flôres Jr.
  • Victor Ginsburgh
  • Philippe Jeanfils

Abstract

In their paper on price comovements of paintings, Ginsburgh and Jeanfils show that in three important markets (London, Paris and New York), prices of well-known and lesser known painters ''move together'' (are cointegrated). They conclude that therefore, an investor may be indifferent between the two groups of painters. We show that this is not the case, since well-known painters are less risky, and that though returns may be comparable, the share of well-known painters in a portfolio of paintings might be as high as 90%. We also construct long-run and short-run portfolios and show that these may be very different. These short-term portfolios give interesting insights which help in characterizing each of the three markets. Copyright Kluwer Academic Publishers 1999
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Suggested Citation

  • Renato G. Flôres Jr. & Victor Ginsburgh & Philippe Jeanfils, 1999. "Long- and short-term portfolio choices of paintings," ULB Institutional Repository 2013/99275, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/99275
    Note: SCOPUS: ar.j
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    References listed on IDEAS

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    1. Czujack, Corinna & Flôres Junior, Renato Galvão & Ginsburgh, Victor, 1995. "On long-run price comovements between paintings and prints," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 269, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Buelens, Nathalie & Ginsburgh, Victor, 1993. "Revisiting Baumol's 'art as floating crap game'," European Economic Review, Elsevier, vol. 37(7), pages 1351-1371, October.
    3. Madeleine De La Barre & Sophie Docclo & Victor Ginsburgh, 1994. "Returns of Impressionist, Modern and Contemporary European Paintings 1962-1991," Annals of Economics and Statistics, GENES, issue 35, pages 143-181.
    4. Victor Ginsburgh & Pierre-Michel Menger, 1996. "Economics of the arts: selected essays," ULB Institutional Repository 2013/1655, ULB -- Universite Libre de Bruxelles.
    5. Ginsburgh, Victor & Jeanfils, Philippe, 1995. "Long-term comovements in international markets for paintings," European Economic Review, Elsevier, vol. 39(3-4), pages 538-548, April.
    6. Olivier Chanel & Louis-André Gérard-Varet & Victor Ginsburgh, 1996. "The relevance of hedonic price indices," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 20(1), pages 1-24, March.
    7. Madeleine de la Barre & Sophie Docclo & Victor Ginsburgh, 1994. "Returns of impressionist, modern and contemporary European painters, 1962-1991," ULB Institutional Repository 2013/1723, ULB -- Universite Libre de Bruxelles.
    8. Victor Ginsburgh & Pierre-Michel Menger, 1996. "Economics of the arts: selected essays," ULB Institutional Repository 2013/1655, ULB -- Universite Libre de Bruxelles.
    9. repec:adr:anecst:y:1994:i:35:p:06 is not listed on IDEAS
    10. Chanel, O. & Gerard, L.A. & Ginsburgh, V., 1992. "The Relevence of Hedonic Price Indices the Case of Paintings," G.R.E.Q.A.M. 92a19, Universite Aix-Marseille III.
    11. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
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    Cited by:

    1. Francesco Angelini & Massimiliano Castellani, 2019. "Cultural and economic value: a critical review," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 43(2), pages 173-188, June.
    2. Louis Lévy-Garboua & Claude Montmarquette, 2011. "Demand," Chapters, in: Ruth Towse (ed.), A Handbook of Cultural Economics, Second Edition, chapter 26, Edward Elgar Publishing.
    3. Andrew C. Worthington & Helen Higgs, 2003. "Risk, return and portfolio diversification in major painting markets: The application of conventional financial analysis to unconventional investments," School of Economics and Finance Discussion Papers and Working Papers Series 148, School of Economics and Finance, Queensland University of Technology.
    4. Váradi, Kata & Teszárik, Eszter, 2020. "A magyar festménypiac pénzügyi szemmel [The Hungarian market for paintings, from a financial point of view]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1271-1298.
    5. Richard Agnello & Xiaowen Xu, 2006. "Art Prices and Race: Paintings by African American Artists and Their White Contemporaries," Working Papers 06-06, University of Delaware, Department of Economics.
    6. Helen Higgs & Andrew Worthington, 2005. "Financial Returns and Price Determinants in the Australian Art Market, 1973–2003," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 113-123, June.
    7. Richard J. Agnello, 2002. "Investment Returns and Risk for Art: Evidence from Auctions of American Paintings," Eastern Economic Journal, Eastern Economic Association, vol. 28(4), pages 443-463, Fall.
    8. Andrew Worthington & Helen Higgs, 2006. "A Note on Financial Risk, Return and Asset Pricing in Australian Modern and Contemporary Art," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 30(1), pages 73-84, March.
    9. Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
    10. Louis Lévy-Garboua & Claude Montmarquette, 2002. "The Demand for the Arts," CIRANO Working Papers 2002s-10, CIRANO.
    11. Helen Higgs & Andrew Worthington, 2005. "Financial Returns and Price Determinants in the Australian Art Market, 1973-2003," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 113-123, June.
    12. Jianping Mei & Michael A. Moses & Zur B. Shapira & Lawrence J. White, 2010. "Loss Aversion? What Loss Aversion? Some Surprising Evidence from the Art Market," Working Papers 10-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    13. Douglas J. Hodgson & Keith P. Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(3), pages 629-655, August.
    14. Helen Higgs & Andrew Worthington, 2004. "Transmission of returns and volatility in art markets: a multivariate GARCH analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 217-222.
    15. Andrew C. Worthington & Helen Higgs, 2001. "Art as an Investment: Risk, Return and Comovements in Major Painting Markets," School of Economics and Finance Discussion Papers and Working Papers Series 093, School of Economics and Finance, Queensland University of Technology.

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    Keywords

    Investment in art; Portfolio choices;

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