Horizon analysis of art investments: Evidence from the Chinese market

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.