艺术品的金融属性:投资收益与资产配置
发布时间：2018-12-20 05:46
【摘要】：本文基于2000—2014年中国艺术品拍卖市场近现代国画的微观数据,在资产配置中引入市场交易机制中的佣金变量,加入艺术品市场规模约束,采用重复交易法实证计量嵌入艺术品市场的投资收益特征并量化其资产配置效应,以测度其市场功能。优质的艺术精品具备金融资产风险和收益的基本特征,本文对艺术品资产与资本资产定价模型的适应性进行讨论。研究表明:在样本期内,剔除通胀和佣金成本因素后收益率更加贴近现实,中国艺术品投资的实际收益率水平为13.08%,表现出高于欧美市场的投资溢价;艺术品投资与传统的股票、债券等金融资产之间表现出相对独立性,并能有效改善投资者资产组合的风险边界,可以成为资产配置优化和多样化的重要选择。中国艺术品市场的长期稳健发展将为投资者提供更多的资产优化产品和工具。
[Abstract]:Based on the microcosmic data of modern Chinese painting in the Chinese art auction market from 2000 to 2014, this paper introduces the commission variable in the market transaction mechanism into the asset allocation, and adds the art market scale constraints. In order to measure the market function, the characteristics of investment returns embedded in the art market are measured empirically by the repeated transaction method and the asset allocation effect is quantified. High quality fine art has the basic characteristics of financial asset risk and income. This paper discusses the adaptability of art asset and capital asset pricing model. The results show that: in the sample period, the real return rate of Chinese art investment is 13.08, which is higher than the investment premium in Europe and the United States after taking into account the factors of inflation and commission cost. The relationship between art investment and traditional financial assets, such as stocks and bonds, is relatively independent and can effectively improve the risk boundary of investors' portfolio. It can become an important choice for asset allocation optimization and diversification. The long-term steady development of the Chinese art market will provide investors with more asset optimization products and tools.
【作者单位】： 中国人民大学经济学院;中国经济改革与发展研究院;
【分类号】：J124
，
本文编号：2387518
[Abstract]:Based on the microcosmic data of modern Chinese painting in the Chinese art auction market from 2000 to 2014, this paper introduces the commission variable in the market transaction mechanism into the asset allocation, and adds the art market scale constraints. In order to measure the market function, the characteristics of investment returns embedded in the art market are measured empirically by the repeated transaction method and the asset allocation effect is quantified. High quality fine art has the basic characteristics of financial asset risk and income. This paper discusses the adaptability of art asset and capital asset pricing model. The results show that: in the sample period, the real return rate of Chinese art investment is 13.08, which is higher than the investment premium in Europe and the United States after taking into account the factors of inflation and commission cost. The relationship between art investment and traditional financial assets, such as stocks and bonds, is relatively independent and can effectively improve the risk boundary of investors' portfolio. It can become an important choice for asset allocation optimization and diversification. The long-term steady development of the Chinese art market will provide investors with more asset optimization products and tools.
【作者单位】： 中国人民大学经济学院;中国经济改革与发展研究院;
【分类号】：J124
，
本文编号：2387518
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