Replication data for: Art as an Investment and Conspicuous Consumption Good

This paper provides a simple and empirically plausible model of artworks as investment vehicles. It reconciles the observation that average financial returns for collectibles are low and volatile with the theory of consumption-based asset pricing. Art assets are appealing both for their ability to transfer consumption over time and for their use as signals of wealth, as in the literature on the demand for luxuries. Adding art value to utility, returns also reflect this "conspicuous consumption" dividend; as a result, average financial returns are low. Risk premia for artworks are predicted to be modest or even negative. (JEL G11, Z11)

本文构建了一个简洁且符合经验实证逻辑的艺术品投资载体模型。本文将收藏品平均金融收益偏低且波动剧烈的观测结果，与基于消费的资产定价理论相调和统一。正如奢侈品需求领域的既有研究所示，艺术资产的吸引力兼具两点：一是其能够实现跨期消费转移，二是可作为财富彰显的信号。在效用函数中纳入艺术价值后，艺术资产的收益同时体现了这一"炫耀性消费"红利，这也使得其平均金融收益偏低。研究预测，艺术品的风险溢价将趋于温和，甚至可能为负值。(JEL G11, Z11)