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本文根据2000~2011年中国艺术品拍卖市场的14454对重复交易样本,采用重复交易回归(Repeat Sales Regression)方法,量化研究了艺术品市场的投资收益率,并从检验杰作效应角度分析了市场收益结构。研究结果表明:(1)2000~2011年中国艺术品市场整体的名义年化收益率约为18.7%,收益波动率较高,但与其他金融资产收益率低相关,有利于分散资产组合风险。近年来艺术品价格的高涨与股市不景气以及货币供应量增长存在一定的相关性。(2)艺术品市场存在杰作效应。杰作的收益与市场均值存在显著差异,其中最知名艺术家的相对低价格作品表现最好。进而本文提出了政策建议。
Based on the 14454 pairs of repeated trades in the Chinese art auction market from 2000 to 2011, this paper uses the Repeat Sales Regression method to quantitatively study the return on investment of the art market and analyzes the market returns from the perspective of masterpiece effect structure. The results show that: (1) The nominal annualized return rate of the Chinese art market is about 18.7% from 2000 to 2011, with high volatility of returns but low correlation with the yield of other financial assets, which is conducive to the diversification of portfolio risk. In recent years, there has been a certain correlation between the upsurge in the price of artwork and the stock market downturn and the growth of money supply. (2) There is a masterpiece effect in the art market. There is a significant difference between the return on masterpieces and the market average, of which the best-known artists performed best on relatively low-priced works. Then this article put forward the policy suggestion.