The Investment Returns and Portfolios of Chinese Watercolor and Oil Paintings
碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === 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 waterc...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18624651059712089329 |
| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === 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.
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