本文關鍵詞： 藝術品投資基金 對沖機制 房地產(chǎn)衍生品 信用衍生品 總回報互換 藝術衍生品 藝術品市場指數(shù) Hedonic模型法　出處：《福建師范大學》2010年碩士論文　論文類型：學位論文

【摘要】：目前,隨著財富的增長和多樣化投資的需要使得世界范圍內(nèi)對藝術品的需求增加,作為三大投資市場之一的藝術品市場的投資價值逐步被人們所認識和追求,藝術品投資基金正是在這樣的背景下發(fā)展起來的,反映了藝術金融化和市場投資主體機構化的趨勢。但是藝術品市場本身存在著交易成本高、市場熱點不確定等無效率因素,大大增加了藝術品投資基金的風險。更為關鍵的是,對沖機制的缺席使得投資基金無法像在證券或貨幣市場上那樣使用衍生品來對沖風險。作為全球第一支藝術品對沖基金,“藝術品交易基金”試圖通過股票衍生品來解決這一問題,但是股票等有價證券與經(jīng)濟環(huán)境的關聯(lián)度大,并會受到公司經(jīng)營狀況的影響,不能作為理想的對沖工具,倒是房地產(chǎn)市場由于具備與藝術品同樣的異質(zhì)商品屬性,其對沖機制值得藝術品投資基金借鑒,所以本文參考了房地產(chǎn)衍生品的模式,選擇信用衍生品中的總回報互換作為藝術品風險對沖的方式。另外,藝術品對沖機制的建立有賴于更完善的藝術品市場指數(shù),目前現(xiàn)有的藝術品市場指數(shù)普遍采用重復銷售法和平均數(shù)法,都各有其弊端,Hedonic模型法應該是針對像藝術品這類異質(zhì)商品更好的計算方法,它不但能把藝術品的諸多屬性包含進指數(shù),而且可使用的數(shù)據(jù)范圍也更加廣泛。
[Abstract]:At present, with the increase of wealth and the need of diversified investment, the demand for art in the world has increased. As one of the three major investment markets, the investment value of the art market has been gradually recognized and pursued by people. It is against this background that the art investment fund has developed, reflecting the trend of art financialization and market investment subject institutionalization. However, the art market itself has inefficient factors such as high transaction costs, uncertainty of market hot spots, and so on. Greatly increased the risk of art investment funds. More crucially, The absence of hedging mechanisms prevents investment funds from using derivatives to hedge risks as they do in securities or money markets. As the world's first art hedge fund, art trading funds try to use equity derivatives. To solve this problem, However, stocks and other marketable securities have a strong correlation with the economic environment and will be affected by the company's operating conditions. They cannot be used as an ideal hedge tool. It is because the real estate market has the same heterogeneous commodity attributes as works of art. Its hedging mechanism is worthy of reference by the art investment fund, so this paper refers to the real estate derivatives model, and selects the total return swap in the credit derivatives as the way to hedge the art risk. The establishment of the art hedging mechanism depends on a better art market index. Currently, the existing art market indices generally use the method of repeated sales and the average method. The Hedonic model method should be a better calculation method for heterogeneous goods such as art. It can not only include many attributes of art into the index, but also use a wider range of data.
【學位授予單位】：福建師范大學
【學位級別】：碩士
【學位授予年份】：2010
【分類號】：J124

【引證文獻】

相關博士學位論文 前1條

1 文昕;中國書畫藝術品市場泡沫化問題的計量分析[D];遼寧大學;2013年

相關碩士學位論文 前2條

1 張琪;江西書畫藝術品市場傳播研究[D];南昌大學;2012年

2 張博;我國藝術品金融化發(fā)展及路徑選擇[D];河北經(jīng)貿(mào)大學;2013年

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本文編號：1527025