NFT指數的經濟啟示 究竟投資加密藝術回報有幾多? - fintalk180

    NFT指數的經濟啟示 究竟投資加密藝術回報有幾多?

    炒股炒樓的回報率,約會為每年 7%,是經濟學界的一個常識。作為另類投資,傳統藝術品的投資回報率,要低兩個多百分點。然而,作為流動性低的另類投資,藏家一般有兩不賣:其一,價不好不賣;其二,錢不緊不賣。把這選擇性市場成交的因素考慮在內,藝術投資的大市回報率要再大跌兩個多百份點。

    投資回報不高的傳統藝術品,卻一直受不少富豪藏家追捧,收藏本身的消費樂趣是原因之一,另一原因是,持貨力強的富豪藏家,有條件等待價好才賣,因而獲得藝術投資的流動性溢價。NFT 自去年起大熱,投資加密藝術的回報究竟是多少?

    去年一篇名為《Alternative Investments in the Fintech Era: The Risk and Return of Non-fungible Token (NFT)》的文章發現:

    In general, we find that NFTs have higher returns than traditional financial assets. Yet, investing in NFTs comes along with extremely high volatility. The average monthly returns on NFTs range from 6.10% to 44.11%. But their standard deviations fluctuate between 44.35% and 74.57%, leading to a Sharpe ratio comparable to the NASDAQ index.

    投資CryptoPunks每月回報22.76%

    研究的數據,其實來自 2017 年 6 月至 2021 年 5 月,CryptoPunks 的交易數據,研究方法以類似中原指數,採用計量經濟學中的特徵迴歸分析(hedonic regression analysis),去估算每個 CryptoPunk 一些「特徵」之價,從而推斷每件作品的升值潛力。

    平均來說,投資 CryptoPunks NFT 的回報率是每月 22.76%(即每年上升超過兩倍!),相比同期 ETH、股票、債券、黃金的平均回報都要高(分別為 5.02%, 1.66%, 0.65% 和 0.71%)。

    然而,投資 CryptoPunks NFT 的風險亦高(標準差為58.77%,比投資股票的高 13 倍!)因此調整風險後,投資 CryptoPunks NFT 的整體表現,跟投資 NASDAQ 股票相約。

    另一更近期的研究發現:

    Based on the NFT index, the average weekly return of the NFT market is 2.5 percent. The average weekly return of the NFT market using the heteroscedasticity adjusted NFT index is also 2.5 percent. The weekly standard deviation of the NFT market is 19.2 percent based on the standard NFT index and is 19.5 percent based on the heteroscedasticity adjusted index.

    The magnitude of the average return of the NFT market is more than twice as large as that of the cryptocurrency market (1.1 percent per week) in the sample period, and is an order of magnitude higher than that of the stock market (0.3 percent per week).

    The volatility of the NFT market is much higher than those of the coin market (10.3 percent per week) and stock market (2.5 percent per week). … The annualized Sharpe ratios of the NFT market are 0.939 based on the baseline NFT index and 0.925 based on the heteroscedasticity adjusted NFT index, which is higher than those of the coin market at 0.799 and is similar to the stock market at 0.931 during the period.

    這篇名為《The Economics of Non-Fungible Tokens 》的學術文章,透過多年追蹤同一組 NFT 的重複交易,分析了 2018 至 2021 年期間,近乎整個 NFT 市場的投資回報及風險。

    更大的 NFT 市場,NFT 的平均回報率是每週 2.5%,一年計是超過 100% 的回報率了。整體回報率比大熱的 CryptoPunks 低,是意料中事。然而,單單只論回報,投資 NFT 的整體回報,始終比同期投資股票的高。加入風險的考慮,回報高、風險亦高的 NFT 市場,整體表現跟股票市場相約。

    徐家健
    美國克林信大學經濟系副教授

    #CryptoPunks #NASDAQ #NFT

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