中國水彩畫及油畫之投資報酬率與投資組合

Abstract

本研究旨在探討華人藝術品市場的投資特性，以2004至2009年中國水彩畫及油畫之拍賣資料建構特徵價格模型，計算中國水彩畫及油畫之投資報酬率並與其他金融投資工具進行比較。本文同時應用資本資產定價模型來衡量華人藝術品市場的系統風險，並分析加入藝術品與股票合併投資是否有助於降低投資組合總風險。 實證結果顯示畫作平均報酬率高於股票市場報酬率及無風險利率，畫作報酬率的波動度也較股票市場大。雖然畫作投資風險較股票高，考慮到畫作之低系統風險且報酬率與股票市場低度相關，建立畫作與股票之投資組合能分散非系統性風險。

This study aims to explore the investment characteristics of Chinese art market. Using auction prices for Chinese watercolor and oil paintings for the period 2004-2009 to construct hedonic regression model, I calculate the rate of returns on Chinese watercolor and oil paintings and compare the returns on paintings with other financial instruments. This paper also applies capital asset pricing model (CAPM) to measure the systematic risk for Chinese art market and attempts to analyze whether adding art investments to a portfolio of equities may have some benefits in reducing total portfolio risk. The empirical results show that the average return on paintings is higher than the stock market return and risk-free rate. The volatility of returns on paintings is also greater than the stock market. Although the risk of returns for paintings is higher than the equities, constructing a portfolio of these two assets would diversify unsystematic risks given the low systematic risk of paintings and the low correlation between paintings and equities.