On the correlation between stocks and art market returns

Ventura Charlin and Arturo Cifuentes ()

Applied Economics Letters, 2017, vol. 24, issue 2, 128-131

Abstract: We estimate the correlation between the returns of an S&P 500-based portfolio and Renoir paintings. Unlike previous studies that relied on single-point estimates of the correlation to explore the merits of adding art assets to a portfolio of stocks, we rely on a wild bootstrap algorithm to determine confidence intervals for the correlation estimates. We find that these confidence intervals are so wide (a situation not peculiar to our example) that it seems impossible to make absolute remarks about the merits of adding art-related assets to stocks portfolios. Moreover, our results suggest that previous conclusions regarding the correlation between art and stocks should be taken with some scepticism.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2016.1170924 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:24:y:2017:i:2:p:128-131

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2016.1170924

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().