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中文摘要：
本文根据2000～2011年中国艺术品拍卖市场的14454对重复交易样本，采用重复交易回归（RepeatSalesRegression）方法，量化研究了艺术品市场的投资收益率，并从检验杰作效应角度分析了市场收益结构。研究结果表明：（1）2000—2011年中国艺术品市场整体的名义年化收益率约为18．7％，收益波动率较高，但与其他金融资产收益率低相关，有利于分散资产组合风险。近年来艺术品价格的高涨与股市不景气以及货币供应量增长存在一定的相关性。（2）艺术品市场存在杰作效应。杰作的收益与市场均值存在显著差异，其中最知名艺术家的相对低价格作品表现最好。进而本文提出了政策建议。
英文摘要：
Based on 14,454 pairs of repeat sales in the Chinese art auction market from 2000 to 2011, this pa- per investigates the Chinese art market using repeat Sales regression. Then we analyze the structure of art market income in terms of the masterpiece effect. The results show that the art in China, whose nominal annum rate of return is about 18.7%, has the characteristic of high volatility and low correlation with traditional financial as- sets, which is beneficial to reduce the risk of portfolio. The recent boom of art market is related to the slump of stock market and the monetary policy. And the masterpiece effect do exists in Chinese art market, which shows that the relative low price fine art of most famous artist performs the best. Then policy suggestions are proposed.
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