Big money art is not just an investment vehicle, it allows collectors to do things that would be difficult or illegal with other assets.

For example: You and a few of your rich buddies buy up as much artwork as you can from a famous but not too famous dead artist. Say, 10 pieces at a million a piece. I sell my friend one of them for 1.5 million and another for 1.7. I buy his for 2 and 3 million. Repeat a few times, and now you've established a pattern that this artist's work is becoming more valuable. After several years, you all sell your paintings for 5-10 million a piece.