Speculative Investment in Paintings : A Short-Run Capital Asset Price Index

This paper examined the performance of an investment in paintings during the period 1987-1995 by applying the repeat sales technique. Since the period of time analysed in this work is characterised by a boom and a non-boom period, a price risk term is introduced to separate temporal and non-temporal fixed components in painting returns. This study used a sample of 1446 repeat sales. The purpose of the paper is to focus on speculative investment in paintings and paintings re-sold within a relative short period of time. The main finding is that from 1987 to 1991 it performed well if compared with alternative forms of investment, such as U.S. stocks, U.S. 30 year government bonds and gold; by contrast, from 1992 to 1995 returns were lower, with the exception of 1993