This study examines the auction market for paintings for the period of
1998-2008. Using a sample of auction prices for major Korean painters, I run
hedonic regressions to analyse the influence of various factors, including
painter identity, on auction prices, as well as to construct a market price
index. The attributes included in the hedonic regression model include the
name, living status of the artist, the size and medium of the painting, and the
auction house, month and year in which the painting was sold. The results
indicate that rate of returns on Korean modern and contemporary art averaged
nearly 23.74 percent over the period which is the highest compared to the
alternative financial assets. Also the art portfolio shows high standard deviation
which shows a standard pattern of ‘high risk and high return.’ In addition,
rates of return are differentiated by artist and time period of investment.