Emotional Yields of Collectibles
提出基于因子模拟组合的方法估算收藏品的情感收益，利用110年13类收藏品数据，发现多数收藏品情感收益为正，且情感收益高的资产均衡金融回报更低。
We propose a novel method to estimate emotional yields of collectibles based on factor-mimicking portfolios. Using up to 110 years of collectibles returns for 13 distinct asset classes, we apply machine learning techniques to address challenges from non-synchronous trading. We use these estimates to study how emotional yields affect equilibrium pricing. Emotional yield estimates for 24 of our 30 collectibles return series are positive, with an annualized mean (median) of 2.64% (2.53%). Despite various forms of underestimation, these results provide evidence that assets with positive emotional returns have lower equilibrium financial returns.