经济不确定性、艺术家声誉与艺术资产收益

Macroeconomic Uncertainty,Artist Endowment and Artistic Asset Income

本文基于我国2000-2017年国画的拍卖数据,采用重复交易法、门限回归研究了艺术品市场的实际收益及影响因素,研究发现:(1)样本统计期间市场的实际年化收益率为10.1%,波动性较高。(2)引入声誉代理变量解决了内生性问题,更有力地证明了艺术品市场中杰作效应的存在。(3)宏观经济不确定性对艺术资产价格的影响是非线性的,呈正U形,拐点值为114,艺术资产在经济政策较高水平时表现出一定的避险属性。

Based on the microdata of the Chinese painting auction market from 2000 to 2017,this article uses the repeated trading method and threshold regression to quantify the actual income of the art market,Research indicates:(1)The actual annualized rate of return of the art market during sample statistics was 10.1%,which was highly volatile;(2)The introduction of the reputation agent variable solves the endogeneity problem and more strongly proves the existence of the masterpiece effect in the art market.(3)The impact of economic policy uncertainty on the price of art assets is non-linear and positive U-shaped,The inflection point is the economic policy uncertainty index equal to 114;the art assets show certain hedging attributes when the economic policy is at a higher level.