The Empirical Study: Art Investment on Chinese Calligraphy

• Main Authors: Ying-Hsiu Huang, 黃盈琇
• Other Authors: Larry Y. Tzeng
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/79763726085579176632

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.