The Empirical Study: Art Investment on Chinese Calligraphy
碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === 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 4.5...
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/79763726085579176632 |
| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === 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.
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