On the correlation between stocks and art market returns

被引：3

作者：

Charlin, Ventura ^{[1
]}

Cifuentes, Arturo ^{[2
]}

机构：

[1] VC Consultants, Santiago, Chile

[2] Univ Chile, Fac Econ & Business, Financial Regulat Ctr, Diagonal Paraguay 257,13th Floor, Santiago, Chile

来源：

APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 02期

关键词：

Art market; art returns; hedonic models; asset correlation; alternative investments; bootstrapping; portfolio diversification; G11; Z11; Z10; C02; INVESTMENT;

D O I：

10.1080/13504851.2016.1170924

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：128 / 131

页数：4

共 13 条

[1]

[Anonymous], ESTIMATION BIASES QU

[2]

[Anonymous], ART INVESTIMENT TOP

[3] Bootstrapping a hedonic price index: experience from used cars data [J].