近現代中國書畫之投資報酬率及投資組合

The Returns and Portfolios of Modern Chinese Paintings

曾若涵(Juo-Han Tseng)

指導教授 ： 胡為善 ； 劉立倫

中原大學/商學院/企業管理研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600120

摘要

藝術品市場在過去三十年不但於美學產業中佔有一席重要之地位，而且成長極為快速，尤其於二00四年間，全球華人書畫文物市場更創造驚人的產值，例如香港蘇富比、佳士得拍賣市場之成交總額分別創下歷年新高量，使得藝術作品成為眾人夢想致富的新興投資管道。尤其，每件藝術作品皆具有獨特性及產品異質性，因而使其與股票、基金等其他投資商品產生非常大的差異。本研究主要目的在探討1994年至2004年間的中國書畫的投資報酬率，並以其與其他投資商品加以比較，同時，亦檢驗中國書畫與香港恆生股價指數組成的投資組合能否分散投資風險。
　　本研究係以香港蘇富比與香港佳士得兩大拍賣市場在1994至2004年拍賣的近現代中國書畫為研究對象，其中包括159位畫家及32,756筆拍賣紀錄，並藉由特徵價格法（hedonic price method），檢視其在華人藝術市場上之報酬率與價格起伏的狀況。此外，本研究採用資本資產訂價模型（Capital Asset Price Model, CAPM），來探討近現代中國書畫與其他傳統投資標的之間的相關性。
　　本研究發現畫作之實質報酬率（4.61%）介於股票實質報酬率（8.44%）與無風險實質報酬率（2.12%）之間。此外，實證結果亦發現中國書畫的波動性極高，但中國書畫與普通股票間之相關性很低，顯示股票與中國書畫得組成投資組合以分散風險。本研究亦發現畫作的畫家若為傅抱石、徐悲鴻、潘天壽、齊白石及李可染等名人。畫作係設色而非黑白、且以絹綾為媒介，並以卷為裝潢形式，則拍賣價格會較高。
　　本研究建議於專業化的知識下，近現代中國書畫為一值得投資的標的物，且應與股票組成一投資組合，能有效減低投資風險並帶來不錯的報酬率。

關鍵字

藝術市場 ； 特徵價格法

並列摘要

Art market has been essential portion in the Beauty industry and grew rapidly for past three decades. Particularly, Chinese art markets hit a record high for sales in the global markets in 2004, including Sotheby’s and Christie’s auction houses in Hong Kong. Art auction has become an important alternative for investors to obtain high rate of return on investments in recent years. Unlike other financial instruments, art is unique and has product heterogeneity, which is quite different from common stocks and mutual funds. This study attempts to examine the rate of return on Chinese paintings and compare it with that on other investments, as well as to explore whether the portfolio consisting of modern Chinese paintings and common stock diversifies the risk or not.
This work employs 32,756 modern Chinese paintings by 159 well-known artists sold at auction houses in Chinese art market over the period of 1994-2004 to construct a hedonic price index, as well as applies the Capital Asset Pricing Model (CAPM) to analyze the price movements of Chinese paintings.
This study finds that the hedonic regression model captures the willingness to pay for perceived attributes in the artwork. For instance, the result suggests Chinese paintings drawn by the most famous five artists, (i.e., Bao-Shi Fu, Bei-Hong Xu, Tian-Shou Pan, Bai-Shi Qi and Keran Li), the works executed in ink and colors, the material with silk and the mounting form by employing album leaf are associated with higher prices than others.
The findings also indicate that the real rate of return on modern Chinese paintings during the period of 1994 to 2004 is 4.61%, which is ranked between that on common stocks (8.44%) and that on risk-free rate (2.12%) during the same period. The results also show that there is a very high volatility in Chinese painting market while there is not a significant relationship between Chinese paintings and common stocks.
This work concludes that the modern Chinese painting is a very good investment object. Also the portfolio consisting of modern Chinese paintings and common stock can reduce risk effectively and produce fair rate of return consequently.

並列關鍵字

art market ； hedonic price method

參考文獻

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