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dc.contributor.authorKräussl, Romanen_US
dc.contributor.authorElsland, Niels vanen_US
dc.date.accessioned2009-04-15en_US
dc.date.accessioned2009-07-24T13:48:43Z-
dc.date.available2009-07-24T13:48:43Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:hebis:30-54393-
dc.identifier.urihttp://hdl.handle.net/10419/25546-
dc.description.abstractThis study develops a novel 2-step hedonic approach, which is used to construct a price index for German paintings. This approach enables the researcher to use every single auction record, instead of only those auction records that belong to a sub-sample of selected artists. This results in a substantially larger sample available for research and it lowers the selection bias that is inherent in the traditional hedonic and repeat sales methodologies. Using a unique sample of 61,135 auction records for German artworks created by 5,115 different artists over the period 1985 to 2007, we find that the geometric annual return on German art is just 3.8 percent, with a standard deviation of 17.87 percent. Although our results indicate that art underperforms the market portfolio and is not proportionally rewarded for downside risk, under some circumstances art should be included in an optimal portfolio for diversification purposes.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2008/11en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordOptimal Asset Allocationen_US
dc.subject.keywordDiversificationen_US
dc.subject.keywordArt Investmentsen_US
dc.subject.keywordHedonic Modelen_US
dc.subject.keywordDownside Risken_US
dc.subject.stwKunstgegenstanden_US
dc.subject.stwPreisindexen_US
dc.subject.stwHedonischer Preisen_US
dc.subject.stwAuktionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwDeutschlanden_US
dc.titleConstructing the true art market index: A novel 2-step hedonic approach and its application to the German art marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn577545752en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200811-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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