EconPapers    
Economics at your fingertips  
 

Horizon analysis of art investments: Evidence from the Chinese market

Heungju Park, Lan Ju, Tianyu Liang and Zhiyong Tu

Pacific-Basin Finance Journal, 2017, vol. 41, issue C, 17-25

Abstract: This paper analyzes art investments with different investment horizons based on the repeated sales transactions in the Chinese calligraphy and paintings auction market from 1994 to 2012. We classify the whole sample into short-, medium-, and long-horizon subsamples according to their different holding periods. We find that both art returns and return volatilities increase with the investment horizons, but short-horizon returns hardly comove with the medium- and long-horizon returns. Through the return factors analysis, we show that short-horizon art investors focus on arbitrage. Their returns increase with arbitrage across auction houses and locations but decrease with the choice of masterpieces. On the contrary, long-horizon art investors focus on value. They favor masterpieces as well as ancient artworks and abstain from venue arbitrage.

Keywords: Art investment; Repeated sales; Horizon analysis; Chinese art market (search for similar items in EconPapers)
JEL-codes: G11 G12 Z11 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X16302372
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:41:y:2017:i:c:p:17-25

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-10-01
Handle: RePEc:eee:pacfin:v:41:y:2017:i:c:p:17-25