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|Title:||The Swiss Art Index|
|Authors :||Dürr, Franziskus|
|Publisher / Ed. Institution :||ZHAW Zürcher Hochschule für Angewandte Wissenschaften|
|Publisher / Ed. Institution:||Winterthur|
|Language :||Englisch / English|
|Subjects :||Art Index; Art Index|
|Subject (DDC) :||700: Künste, Bildende Kunst allgemein|
In this study we analyzed 5231 Swiss Art auction results proprietary gathered from Christie’s and Sotheby’s. The results cover the period between 1993 and 2009. The 2-step hedonic approach developed by Kraeussl and van Elsland (2008) and the classic artist dummy approach have been applied. We could show that the 2-step approach contains two misconceptions which lead to inappropriate or wrong solu-tions.  The solution achieved after 2 steps did not fully converge which leads to biased coefficients and thus a biased index.  The estimation of the reputation sug-gests an exact solution, which leads to a loss of too few degrees of freedom. The results lead to too optimistic standard errors and thus, to a lower uncertainty in the index. Using the artist dummy approach, 75.68% of the variability of the data could be explained. The resulting index performed on average 3.58% over the analyzed period. This is slightly below the bond and fund of hedge funds index. Beside the lower returns the risk of the Swiss Art index was substantially higher than the other two asset classes. The Art market shows only in contrast to the equity index a fa-vourable risk return relationship. Since the correlations with bonds and hedge funds are quite substantial, there is no diversification benefit arising. The broad Swiss Art Index was not an attractive investment during the analyzed period. However, if the sample is reduced to the top 20 artist, the average return increases to 6.1% and for the top 10 even to 7.8%. Thus, the quality of art defines if art is a favourable or poor investment.
|Departement:||School of Management and Law|
|Organisational Unit:||Zentrum für Alternative Investments & Risk Management (ZAI)|
|Publication type:||Working Paper – Gutachten – Studie / Working Paper – Expertise – Study|
|Appears in Collections:||Banking, Finance, Insurance|
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