Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25546 
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dc.contributor.authorKräussl, Romanen
dc.contributor.authorElsland, Niels vanen
dc.date.accessioned2009-04-15-
dc.date.accessioned2009-07-24T13:48:43Z-
dc.date.available2009-07-24T13:48:43Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:hebis:30-54393en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2008/11en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordOptimal Asset Allocationen
dc.subject.keywordDiversificationen
dc.subject.keywordArt Investmentsen
dc.subject.keywordHedonic Modelen
dc.subject.keywordDownside Risken
dc.subject.stwKunstgegenstanden
dc.subject.stwPreisindexen
dc.subject.stwHedonischer Preisen
dc.subject.stwAuktionen
dc.subject.stwKapitalertragen
dc.subject.stwPortfolio-Managementen
dc.subject.stwDeutschlanden
dc.titleConstructing the true art market index: A novel 2-step hedonic approach and its application to the German art market-
dc.typeWorking Paperen
dc.identifier.ppn577545752en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200811en

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