【摘要】：本文基于2000—2014年中國藝術(shù)品拍賣市場近現(xiàn)代國畫的微觀數(shù)據(jù),在資產(chǎn)配置中引入市場交易機(jī)制中的傭金變量,加入藝術(shù)品市場規(guī)模約束,采用重復(fù)交易法實證計量嵌入藝術(shù)品市場的投資收益特征并量化其資產(chǎn)配置效應(yīng),以測度其市場功能。優(yōu)質(zhì)的藝術(shù)精品具備金融資產(chǎn)風(fēng)險和收益的基本特征,本文對藝術(shù)品資產(chǎn)與資本資產(chǎn)定價模型的適應(yīng)性進(jìn)行討論。研究表明:在樣本期內(nèi),剔除通脹和傭金成本因素后收益率更加貼近現(xiàn)實,中國藝術(shù)品投資的實際收益率水平為13.08%,表現(xiàn)出高于歐美市場的投資溢價;藝術(shù)品投資與傳統(tǒng)的股票、債券等金融資產(chǎn)之間表現(xiàn)出相對獨立性,并能有效改善投資者資產(chǎn)組合的風(fēng)險邊界,可以成為資產(chǎn)配置優(yōu)化和多樣化的重要選擇。中國藝術(shù)品市場的長期穩(wěn)健發(fā)展將為投資者提供更多的資產(chǎn)優(yōu)化產(chǎn)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.
【作者單位】： 中國人民大學(xué)經(jīng)濟(jì)學(xué)院;中國經(jīng)濟(jì)改革與發(fā)展研究院;
【分類號】：J124
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本文編號：2387518