Art investment in South Africa: Portfolio diversification and art market efficiency
Ferdi Botha, Jen Snowball, Brett Scott
South African Journal of Economic and Management Sciences | University of Pretoria | Published : 2016
Art has been suggested as a good way to diversify investment portfolios during times of financial uncertainty. The argument is that art exhibits different risk and return characteristics to conventional investments in other asset classes. The new Citadel art price index offered the opportunity to test this theory in the South African context. Moreover, this paper tests whether art prices are efficient. The Citadel index uses the hedonic regression method with observations drawn from the top 100, 50 and 20 artists by sales volume, giving approximately 29 503 total auction observations. The Index consists of quarterly data from the period 2000Q1 to 2013Q3. A vector autoregression of the art pr..View full abstract
The paper benefited from the comments of an anonymous referee. An earlier version of this paper was published as Economic Research Southern Africa (ERSA) Working Paper No. 537 under the title "Art investment as a portfolio diversification strategy in South Africa." The financial support of ERSA is acknowledged.