艺术品的金融属性：投资收益与资产配置*

本文基于2000—2014年中国艺术品拍卖市场近现代国画的微观数据，在资产配置中引入市场交易机制中的佣金变量，加入艺术品市场规模约束，采用重复交易法实证计量嵌入艺术品市场的投资收益特征并量化其资产配置效应，以测度其市场功能。优质的艺术精品具备金融资产风险和收益的基本特征，本文对艺术品资产与资本资产定价模型的适应性进行讨论。研究表明：在样本期内，剔除通胀和佣金成本因素后收益率更加贴近现实，中国艺术品投资的实际收益率水平为1308%，表现出高于欧美市场的投资溢价；艺术品投资与传统的股票、债券等金融资产之间表现出相对独立性，并能有效改善投资者资产组合的风险边界，可以成为资产配置优化和多样化的重要选择。中国艺术品市场的长期稳健发展将为投资者提供更多的资产优化产品和工具。

ART AS AN INVESTMENT: A PORTFOLIO ALLOCATION ANALYSIS IN CHINESE MARKET

This paper examines risk, return and the prospects for portfolio diversification among major paintings and financial markets in China over the period 2004 2014. This paper constructs a new data set of repeated sales of artworks and estimates a semiannual index of art prices for the period 2000 2014. The study finds that the returns on art, 13.08%, are much higher than those of conventional investment markets. Art is also found to have lower volatility and lower correlation with other assets, which suggests opportunities for portfolio diversification. Moreover, the construction of Markowitz mean variance efficient portfolios indicates that diversification benefits in portfolios comprised of art works are possible. The results provide some greater insight into the art market, the time series properties of the art market, and the potential diversification benefits for both private and institutional investors worldwide.