中國書法投資之實證研究

Abstract

本研究使用特徵價格法來探討中國書法2005年至2010年間畫作報酬與風險之特徵因素。以下為主要的實證結果。中國書法的名目季報酬率為4.58%，而以標準差衡量之畫作報酬風險為68.73%，無論是畫作報酬或是風險皆較股票市場及無風險利率來得高。此外，中國書法與其他金融資產的相關性很低，且資本資產訂價模型之結果顯示 β 係數為0.263，就上述結果所示，結合中國書法與股票二者投資之系統性風險較低，兩者適合合併投資進而達成投資組合風險分散的目標。

This paper seeks to use hedonic regression to investigate the risk-return characteristic of Chinese Calligraphy in Asian art market for the period 2005-2010. The main discoveries are as follows. The nominal quarterly return of art for Chinese Calligraphy is 4.58%. And the risk of art measured by standard deviation of return is 68.73%. Both of them are higher than stocks and risk-free rate. From the empirical result, Chinese Calligraphy has low correlation with other financial assets. The estimation of capital-asset-pricing model (CAPM) for art portfolio with β coefficient of 0.263 reflects that art investment tends to have lower systematic risk and inclusion of art can achieve portfolio diversification.