MASSET, Philippe; WEISSKOPF, Jean-Philippe; CARDEBAT, Jean Marie; FAYE, Benoit; LE FUR, Eric

doi:10.1016/j.qref.2021.06.023

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MASSET, Philippe

WEISSKOPF, Jean-Philippe

CARDEBAT, Jean Marie

Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]

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Ce document a été publié dans

Quarterly Review of Economics and Finance. 2021-11-01, vol. 82, p. 1-25

Résumé en anglais

We use a unique and very deep database to examine the performance of wine investments over the period 2003–2014. Our results reveal that the returns stemming from those investments are important but can largely be explained by their exposure to common risk factors. It appears essential to properly account for the lack of liquidity on the wine market and its exposure to global currency risk. Controlling for these wine market specificities and contradicting prior evidence, fine wines do not seem to offer abnormal returns.< Réduire

Mots clés

Alternative assets

Liquidity

Exchange rate

Mots clés en anglais

Wine