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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16305完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁(Larry Y. Tzeng) | |
| dc.contributor.author | Szu-Hsuan Yu | en |
| dc.contributor.author | 余思萱 | zh_TW |
| dc.date.accessioned | 2021-06-07T18:09:02Z | - |
| dc.date.copyright | 2012-07-27 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-12 | |
| dc.identifier.citation | 1.Agnello, Richard J. (2002), “Investment Returns and Risk for Art: Evidence from Auctions of American Paintings,” Eastern Economic Journal 28(4), 443-463.
2.Agnello, Richard J. and Renee K. Pierce (1996), “Financial Returns, Price Determinants, and Genre Effects in American Art Investment,” Journal of Cultural Economics 20, 359-383. 3.Anderson, Robert C. (1974), “Paintings as an Investment,” Economic Inquiry 12, 13-26. 4.Ashenfelter, Orley and Kathryn Graddy (2003), “Auctions and the Price of Art,” Journal of Economic Literature 41, 763-786. 5.Baumol, William J. (1986), “Unnatural Value: or Art Investment as Floating Crap Game,” American Economic Review 76(2) 10-14. 6.Buelens, N. and Ginsburgh, V. (1993),“Revisiting Baumol’s ‘Art as Floating Crap Game’,”European Economic Review 37, 1351-1371. 7.Frey, Bruno S. and Werner, W. Pommerehne (1989), “Art Investment: An Empirical Inquiry,” Southern Economic Journal 56(2), 396-409. 8.Frey, Bruno S. and Eichenberger, R. (1995), “ On the Rate of Return in the Art Market: Survey and Evaluation,” European Economic Review, 528-37. 9.Goetzmann, William N. (1993), “Accounting For Taste: Art and the Financial Markets Over Three Centuries,” American Economic Review 83(5), 1370-1376. 10.Hodgson, Douglas J. and Keith P. Vorkink (2004), “Asset Pricing Theory and the Valuation of Canadian Paintings,” Canadian Journal of Economics 37(3), 629-655. 11.Mei, J. and Moses, M. (2002),“Art as an Investment and the Underperformance of Masterpieces,” American Economic Review 92, 1656-1668. 12.Mok, H.M.K., Ko, V.W.K., Woo, S.S.M. and Kwok, K.Y.S. (1993),“Modern Chinese paintings: An Investment Alternative,”Southern Economic Journal 59, 808-816. 13.Pesando, James E. (1993), “Art as Investment: The Market for Modern Prints,” American Economic Review 83(5), 1075-1089. 14.Pesando, James E. and P.M. Shum (1999) “The Return to Picasso’s Prints and to Traditional Financial Assets, 1977 to 1996, ” Journal of Cultural Economics 23, 183-192. 15.Renneboog Luc. and Tom Van Houtte (2002), “The Monetary Appreciation of Painting: From Realism to Magritte,” Cambridge Journal of Economics 26, 331-357. 16.Stein, John Picard (1977), “The Monetary Appreciation of Paintings,” Journal of Political Economy 85(5), 1021-1035. 17.Tucker, M., Hlawischka, W. and Pierne, J. (1995),“Art as an Investment: A Portfolio Allocation Analysis,”Managerial Finance 21, 16-24. 18.Worthington, A C and Higgs, H (2008), “Australian fine art as an alternative investment,” Accounting Research Journal 21, 55-66. 19.曾若涵 (2005),“近現代中國書畫之投資報酬率及投資組合,” 中原大學企業管理研究所碩士論文。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16305 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T18:09:02Z (GMT). No. of bitstreams: 1 ntu-101-R99723008-1.pdf: 593607 bytes, checksum: 0b762a5104179e743cd9caf09098317b (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書.........................................i
誌謝....................................................ii 中文摘要 ..............................................iii 英文摘要 ...............................................iv 第一章 緒論............................................1 第一節 研究背景與動機..................................1 第二節 研究目的. .......................................3 第三節 研究架構與流程..................................4 第二章 文獻探討........................................5 第三章 研究方法.......................................11 第一節 研究樣本與資料來源.............................11 第二節 模型設定.......................................12 第四章 實證結果與分析.................................18 第一節 水彩畫特徵價格法之實證結果分析.................18 第二節 油畫特徵價格法之實證結果分析...................23 第三節 畫作報酬率.....................................29 第四節 水彩畫、油畫及香港恆生指數投資組合.............35 第五節 資本資產定價模型之實證結果分析.................42 第五章 結論與建議.....................................44 第一節 結論...........................................44 第二節 研究限制與建議.................................45 參考文獻 ...............................................46 附錄....................................................48 | |
| dc.language.iso | zh-TW | |
| dc.subject | 特徵價格法 | zh_TW |
| dc.subject | 藝術品 | zh_TW |
| dc.subject | 資本資產定價模型 | zh_TW |
| dc.subject | 拍賣 | zh_TW |
| dc.subject | 投資 | zh_TW |
| dc.subject | Art | en |
| dc.subject | CAPM | en |
| dc.subject | Auction | en |
| dc.subject | Hedonic price method | en |
| dc.subject | Investment | en |
| dc.title | 中國水彩畫及油畫之投資報酬率與投資組合 | zh_TW |
| dc.title | The Investment Returns and Portfolios of Chinese Watercolor and Oil Paintings | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王仁宏(Jen-Hung Wang),黃瑞卿(Rachel- Juiching Huang) | |
| dc.subject.keyword | 藝術品,投資,特徵價格法,拍賣,資本資產定價模型, | zh_TW |
| dc.subject.keyword | Art,Investment,Hedonic price method,Auction,CAPM, | en |
| dc.relation.page | 60 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2012-07-13 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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