Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Performance analysis of investing in Chinese oil paintings based on a hedonic regression model of price index

Performance analysis of investing in Chinese oil paintings based on a hedonic regression model of... PurposeThe purpose of this paper is to construct a price index for Chinese oil paintings and analyze the financial performance of investing in Chinese oil paintings and its potential for portfolio diversification in Chinese financial markets.Design/methodology/approachA hedonic regression model is applied to construct a semiannual price index for Chinese oil paintings from 2000 to 2014. The CAPM model, downside β and standard portfolio optimization are used for analyzing portfolio diversification.FindingsThe hedonic regression shows that the majority of hedonic variables, such as dimension, artist’s reputation, living status, medium and auction houses, are statistically significant in estimation. Not only the return from oil painting investments is higher than other equities, but also the β coefficient of the CAPM model and downside β indicate that Chinese oil painting may be a good hedging instrument against stock market risk. Furthermore, the portfolio optimizations under standard assumptions suggest that oil paintings as an alternative investment provide diversification benefit.Originality/valueThis paper provides a new and comprehensive analysis of characteristics and risks of investing in the Chinese oil paintings. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png China Finance Review International Emerald Publishing

Performance analysis of investing in Chinese oil paintings based on a hedonic regression model of price index

China Finance Review International , Volume 7 (3): 20 – Aug 21, 2017

Loading next page...
 
/lp/emerald-publishing/performance-analysis-of-investing-in-chinese-oil-paintings-based-on-a-Mh0nDI60LZ
Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
2044-1398
DOI
10.1108/CFRI-03-2016-0009
Publisher site
See Article on Publisher Site

Abstract

PurposeThe purpose of this paper is to construct a price index for Chinese oil paintings and analyze the financial performance of investing in Chinese oil paintings and its potential for portfolio diversification in Chinese financial markets.Design/methodology/approachA hedonic regression model is applied to construct a semiannual price index for Chinese oil paintings from 2000 to 2014. The CAPM model, downside β and standard portfolio optimization are used for analyzing portfolio diversification.FindingsThe hedonic regression shows that the majority of hedonic variables, such as dimension, artist’s reputation, living status, medium and auction houses, are statistically significant in estimation. Not only the return from oil painting investments is higher than other equities, but also the β coefficient of the CAPM model and downside β indicate that Chinese oil painting may be a good hedging instrument against stock market risk. Furthermore, the portfolio optimizations under standard assumptions suggest that oil paintings as an alternative investment provide diversification benefit.Originality/valueThis paper provides a new and comprehensive analysis of characteristics and risks of investing in the Chinese oil paintings.

Journal

China Finance Review InternationalEmerald Publishing

Published: Aug 21, 2017

References