液態黃金:紅酒投資之收益與風險分散

Abstract

紅白酒為熱門新興投資商品，紅白酒不僅具有收藏價值，頂級陳年佳釀更有投資價值。本研究目的在解釋拍賣地區、品種和月份對紅白酒價格的影響，並欲探討具發展潛力的香港市場是否具有較強勁的價格溢酬。本研究採用2004-2013年紅白酒拍賣資料，運用特徵價格模型建立2005-2013年的紅白酒價格指數，並以此計算歷年投資報酬率及風險。研究發現紅白酒投資報酬率高於美國及香港股票市場報酬率及無風險利率，但紅白酒投資報酬率波動度較香港恆生股票市場小。若以平均數-變異數投資組合模型件和資本資產訂價模型加以分析，同樣顯示結合股票及紅白酒投資的合併投資組合將可達成投資組合風險分散的目標。研究結果亦顯示紅白酒在香港拍賣市場實現的投資報酬率高於其他國家的拍賣市場。

Hedonic model of wine price at auction is used to estimate quarterly and semi-annual price index for the period 2005-2013. As in other studies of wine investment, wine does compare favorable to traditional financial tools, but there is little support for the proposition that the investment return of wine is low. The return of wine is shown to outperform traditional assets in US and Hong Kong markets, and the risk measured by standard deviation is beneath Hang Seng index. Measures from mean- variance model and capital asset pricing model also show that wine does provide the modest diversification benefit. The empirical result also shows that the hammer price in Hong Kong auction realized exceeds those realized at others.