"From the French word provenir, which means 'to come from', provenance is the history of ownership of a valued object, such as a work of art. A full provenance provides a documented history that can help prove ownership, assign the work to a known artist, and establish the work of art's authenticity." (Getty Research, http://www.getty.edu/research/tools/provenance/index.html)
Research on provenance, or the history of ownership of a work of art, is a traditional part of museum practice. Links to the right will help with provenance research, as will the guide listed to the right.
Also, journal articles (see the articles tab) as well as photo archives can be helpful, too.
Image source: Pinotgris. Art Institute of Chicago. GFDL. Wikimedia Commons.