"Provenance" is the history of where an art object has been since its creation. Provenance research is important to A) establish a work's authencitiy, B) to establish the legitimate owner of a work of art, and C) understand the history of the object for purposes of display, conservation and cultural importance.
In recent years, provenance has taken on a new significance. Since the wholescale looting of objects by the Nazis, either forcibly or by coersion, modern owners of objects may not be the legitimate heirs. Serveral U.S. and international laws require museums to prove that objects they own which exchanged hands between 1933-1945 were done with full support of the previous collectors. But World War II is not the only cause for concern. Sophisicated looting of archaeological treasures from their find sites continues to be a concern. The film Rape of Europa covers these issues in a palitable overview
Dealer's records, collection inventories, military reports, legal proceedings, newspaper articles and museum records are the ways to learn of art documentation.
Dealer records - Archives of American Art and individual museums collect these. Check Worldcat (under Home) for a listing of institutions that hold these types of records.