艺术品资产定价研究——基于组内固定效应的特征价格模型

Research on Art Asset Pricing——the Hedonic Price Model Based on In-group Fixed Effect

基于2000-2017年我国艺术品拍卖市场的国画交易样本,运用组内固定的方法对特征价格模型进行了修正和完善,并基于OLS回归、断尾回归定量分析了艺术家禀赋对艺术资产价格的影响。研究表明:投资者(消费者)对艺术家禀赋的偏好会显著影响艺术资产价格,运用组内固定的方法可以将这种差异量化体现;基于艺术家组内固定的方法去处理和完善特征价格模型是可行的,模型的拟合优度会显著提升,辅之相似作品组的思想可以更为精准地分析艺术品个体异质性对艺术资产价格的影响;通过该方法构建的艺术品价格指数与市场现实状况拟合较好,对进一步研究艺术品投资等问题具有一定的参考价值。

Based on the artwork samples from Chinese art auction market between 2000 and 2017 and the previous researches,this paper uses the method of in-group fixed effects to modify and perfect the hedonic price model,and conducts a quantitative analysis on the influence of artist endowment on the art asset pricing through the application of OLS regression and tail-climbing regression.Research shows that the preference of investors（consumers）for artist endowment can significantly affect the price of art assets.Using the method of in-group fixed effect can quantify this kind of differences,through which it is feasible to process and perfect the hedonic price model.Consequently,this model＇s goodness of fit will be improved significantly,and the idea of similar works group can be applied to conducting a more precise quantitative analysis on the effect of the individual heterogeneity on art asset pricing.The art price index constructed by this method fits well with the actual market conditions and has certain reference value for further research on issues such as investment in artworks.