TY  - UNPD
A1  - Korteweg, Arthur
A1  - Kräussl, Roman
A1  - Verwijmeren, Patrick
T1  - Does it pay to invest in art? A selection-corrected returns perspective : [draft october 15, 2013]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2013,18
N2  - This paper shows the importance of correcting for sample selection when investing in illiquid assets with endogenous trading. Using a large sample of 20,538 paintings that were sold repeatedly at auction between 1972 and 2010, we find that paintings with higher price appreciation are more likely to trade. This strongly biases estimates of returns. The selection-corrected average annual index return is 6.5 percent, down from 10 percent for traditional uncorrected repeat sales regressions, and Sharpe Ratios drop from 0.24 to 0.04. From a pure financial perspective, passive index investing in paintings is not a viable investment strategy once selection bias is accounted for. Our results have important implications for other illiquid asset classes that trade endogenously.
T3  - CFS working paper series - 2013, 18 
KW  - art investing
KW  - selection bias
KW  - portfolio allocation
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/32495
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-324955
UR  - https://www.ifk-cfs.de/2271.html
N1  - First Draft: December 13, 2012  ; Current Draft: October 15, 2013
IS  - draft october 15, 2013
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -