Research On The Risk、Return And Portfolio Of Art

The market of art is developing rapidly recently, Chinese art market has become the focus of the world. To analysis the real return behind the investment boom. This paper studies on the action record of traditional Chinese paintings, discuss the return and risk of art investment, and the possibility of putting art into portfolio.First, we use Hedonic regression which is commonly used on the research of heterogeneous goods to construct art index, the sample covers the action record of traditional Chinese painting over the year2003-2013, and the data can be representative. Then, we use investment theory to analysis the risk and investment of traditional Chinese paintings and compare with stock markets in China. We find that Chinese painting has the same price trend with stocks with a smaller volatility. The stock market is more easily been influenced by macroeconomic environment and reacts fast, whereas Chinese painting is left relatively unscathed. The return of Chinese painting investment become higher than stock after we removed the abnormal value in2007-2008financial crisis. When compared with stock market, investing in Chinese painting is less risky and can defense the fluctuation thatfinancial crisis and other changes of macroeconomic environment bring. At last, we explore the possibility of putting art into portfolio and find that the join of Chinese painting improves the return of portfolio while screws down the risk.Domestic research concentrates on superficial phenomenon and authenticating, few of them focus on its nature of investment, and the indexes they use are simply calculated in by weighted average. This paper uses Hedonic regression to construct index and studies art from the aspect of economic and investment, giving feasible advice to investors.