Таким образом, инвестиции в русскую скульптуру могут быть весьма привлекательны для экономического агента, исходя из его целей получения повышенной доходности и снижения уровня риска его портфеля. Детальное рассмотрение содержимого такого смешанного оптимального портфеля, включающего в себя русскую скульптуру и какие-либо другие активы, может стать предметом для дальнейших исследований в области анализа инвестиций в искусство.
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Приложение 1. Описательные статистики переменной sculpt
Приложение 2.1. Логарифмическая форма
Приложение 2.2. Полулогарифмическая форма
Приложение 2.3. Линейная форма
Приложение 3. Тест Прегибона
А) Логарифмическая форма:
Б) Полулогарифмическая форма:
Приложение 4. F-тест
Приложение 5 VIF-cтатистики
Новая модель:
6. Финальная модель
7. Программный код Stata
8.
* Encoding vatiables
encode (sculptor), gen (sculpt)
drop (sculptor)
encode (season), gen (seas)
drop season
encode (material), gen (mater)
drop material
* Generating dummies
quietly tabulate mater, generate(mat)
quietly tabulate year_sale, generate (sale)
quietly tabulate seas, generate(seas)
quietly tabulate sculpt, gen (sculpt)
*Generating other variables
gen lprice = ln(price)
gen lage = ln(age)
gen ny_soth = ny*soth
gen ny_shris = ny * chris
gen lon_soth = london * soth
gen lon_chris = london * chris
gen size_sq = size * size
gen lsize_sq = ln(size_sq)
gen lsize = ln(size)
gen lprod = ln(year_prod)
*Describing variables
sum price size age year_prod
tab season
tab alive
tab rf
tab soth
tab chris
tab ny
tab london
tab paris
tab material
tab sculpt
*first model
reg lprice i.year_sale dim lsize rf soth chris ny london paris i.mater i.sculpt
*three specifications
reg lprice lprod i.year_sale dim lsize alive rf soth lage chris ny london paris i.seas i.mater i.sculpt
reg lprice year_prod i.year_sale dim size alive rf soth age chris ny london paris i.seas i.mater i.sculpt
reg price year_prod i.year_sale dim size alive rf soth age chris ny london paris i.seas i.mater i.sculpt
*Pregibon
reg lprice lprod i.year_sale dim lsize alive rf soth lage chris ny london paris i.seas i.mater i.sculpt
linktest
reg lprice year_prod i.year_sale dim size alive rf soth age chris ny london paris i.seas i.mater i.sculpt
linktest
vif lprod i.year_sale dim lsize alive rf soth lage chris ny london paris i.seas i.mater i.sculpt
*F-test
reg lprice lprod i.year_sale dim lsize alive rf soth lage chris ny london paris seas1 seas2 seas3 seas4 mat1 mat2 mat3 mat4 mat5 mat6 sculpt1 sculpt2 sculpt3 sculpt4 sculpt5 sculpt6 sculpt7 sculpt8 sculpt9 sculpt10 sculpt11 sculpt12 sculpt13 sculpt14 sculpt15 sculpt16 sculpt17 sculpt18 sculpt19 sculpt20 sculpt21 sculpt22 sculpt23 sculpt24 sculpt25 sculpt26 sculpt27 sculpt28 sculpt29 sculpt30 sculpt31 sculpt32 sculpt33 sculpt34 sculpt35 sculpt36 sculpt37 sculpt38 sculpt39 sculpt40 sculpt41 sculpt42 sculpt43 sculpt44 sculpt45 sculpt46 sculpt47 sculpt48 sculpt49 sculpt50 sculpt51 sculpt52 sculpt53 sculpt54 sculpt55 sculpt56 sculpt57 sculpt58 sculpt59 sculpt60 sculpt61 sculpt62 sculpt63 sculpt64 sculpt65 sculpt66 sculpt67 sculpt68 sculpt69 sculpt70 sculpt71 sculpt72 sculpt73 sculpt74 sculpt75 sculpt76 sculpt77
test dim alive lage paris seas1 seas2 seas3 mat1 mat2 mat4 sculpt1 sculpt2 sculpt3 sculpt4 sculpt5 sculpt6 sculpt11 sculpt12 sculpt13 sculpt14 sculpt17 sculpt19 sculpt20 sculpt24 sculpt25 sculpt26 sculpt27 sculpt29 sculpt30 sculpt32 sculpt33 sculpt34 sculpt36 sculpt38 sculpt39 sculpt40 sculpt43 sculpt44 sculpt45 sculpt46 sculpt47 sculpt48 sculpt49 sculpt50 sculpt51 sculpt53 sculpt54 sculpt55 sculpt57 sculpt60 sculpt61 sculpt62 sculpt63 sculpt64 sculpt66 sculpt69 sculpt70 sculpt72 sculpt73 sculpt74 sculpt76
*VIF
reg lprice lprod i.year_sale dim lsize alive rf soth lage chris ny london paris seas1 seas2 seas3 seas4 mat1 mat2 mat3 mat4 mat5 mat6 sculpt1 sculpt2 sculpt3 sculpt4 sculpt5 sculpt6 sculpt7 sculpt8 sculpt9 sculpt10 sculpt11 sculpt12 sculpt13 sculpt14 sculpt15 sculpt16 sculpt17 sculpt18 sculpt19 sculpt20 sculpt21 sculpt22 sculpt23 sculpt24 sculpt25 sculpt26 sculpt27 sculpt28 sculpt29 sculpt30 sculpt31 sculpt32 sculpt33 sculpt34 sculpt35 sculpt36 sculpt37 sculpt38 sculpt39 sculpt40 sculpt41 sculpt42 sculpt43 sculpt44 sculpt45 sculpt46 sculpt47 sculpt48 sculpt49 sculpt50 sculpt51 sculpt52 sculpt53 sculpt54 sculpt55 sculpt56 sculpt57 sculpt58 sculpt59 sculpt60 sculpt61 sculpt62 sculpt63 sculpt64 sculpt65 sculpt66 sculpt67 sculpt68 sculpt69 sculpt70 sculpt71 sculpt73 sculpt74 sculpt75 sculpt76 sculpt77
vif
reg lprice i.year_sale dim lsize rf soth lage chris ny london paris mat3 mat5 mat6 sculpt1 sculpt2 sculpt3 sculpt4 sculpt5 sculpt6 sculpt7 sculpt8 sculpt9 sculpt10 sculpt11 sculpt12 sculpt13 sculpt14 sculpt15 sculpt16 sculpt17 sculpt18 sculpt19 sculpt20 sculpt21 sculpt22 sculpt23 sculpt24 sculpt25 sculpt26 sculpt27 sculpt28 sculpt29 sculpt30 sculpt31 sculpt32 sculpt33 sculpt34 sculpt35 sculpt36 sculpt37 sculpt38 sculpt39 sculpt40 sculpt41 sculpt42 sculpt43 sculpt44 sculpt45 sculpt46 sculpt47 sculpt48 sculpt49 sculpt50 sculpt51 sculpt52 sculpt53 sculpt54 sculpt55 sculpt56 sculpt57 sculpt58 sculpt59 sculpt60 sculpt61 sculpt62 sculpt63 sculpt64 sculpt65 sculpt66 sculpt67 sculpt68 sculpt69 sculpt70 sculpt71 sculpt73 sculpt74 sculpt75 sculpt76 sculpt77
vif
*tests
ovtest
hettest
predict r, resid
swilk r
predict r, resid
kdensity r, normal
swilk r
*CAPM
gen hedge1 = hedge - bills
gen re1 = re - bills
gen sculpt1 = sculpt - bills
gen sp1 = sp - bills
gen rts1 = rts - bills
gen bonds1 = bonds - bills
gen comm1 = com - bills
gen corp1 = corp - bills
gen prem = sp - bills
gen sculpt021 = sculpt02 - bills02
gen roscorp1 = roscorp - bills02
gen rosgos1 = rosgos - bills02
gen prem1 = sp02 - bills02
reg hedge1 prem
reg re1 prem
reg sculpt1 prem
reg sp1 prem
reg rts1 prem
reg bonds1 prem
reg comm1 prem
reg corp1 prem
reg sculpt021 prem1
reg roscorp1 prem1
reg rosgos1 prem1
corr hedge re sculpt sp rts bonds bills corp comm
corr roscorp rosgos sculpt02