This study examines the auction market for paintings for the period of1998-2008. Using a sample of auction prices for major Korean painters, I runhedonic regressions to analyse the influence of various factors, includingpainter identity, on auction prices, as well as to construct a market priceindex. The attributes included in the hedonic regression model include thename, living status of the artist, the size and medium of the painting, and theauction house, month and year in which the painting was sold. The resultsindicate that rate of returns on Korean modern and contemporary art averagednearly 23.74 percent over the period which is the highest compared to thealternative financial assets. Also the art portfolio shows high standard deviationwhich shows a standard pattern of ‘high risk and high return.’ In addition,rates of return are differentiated by artist and time period of investment.