Worthington, A. C. and Higgs, H., Australian Fine Art as an Alternative Investment, School of Accounting & Finance, University of Wollongong, Working Paper 2, 2005.
In this study, 35,805 paintings by forty-five leading Australian artists sold at auction over the period 1973-2003 are used to construct individual hedonic price indices. The attributes included in each artist’s hedonic regression model include the size and medium of the painting and the auction house and year in which the painting was sold. The indexes show that average annual returns across all artists range between four and fifteen percent and with a mean of eight percent, with the highest returns for works by Brett Whiteley, Jeffrey Smart, Cecil Brack and Margaret Olley. Risk-adjusted returns are generally lower, with reward-to-volatility and reward-to-variability ratios averaging 1.5 percent and 5.8 percent, respectively. The portfolio betas for individual artistic work average 0.41. The hedonic regression models also capture the willingness to pay for perceived attributes in the artwork, and these shows that works executed in oils and gouache, and those auctioned by Deutscher-Menzies, Sotheby’s and Christies are generally associated with higher prices.