Analyzing the risks of an illiquid and global asset: The case of fine wine
CARDEBAT, Jean Marie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
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Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
CARDEBAT, Jean Marie
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
< Reduce
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]
Language
EN
Article de revue
This item was published in
Quarterly Review of Economics and Finance. 2021-11-01, vol. 82, p. 1-25
English Abstract
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 ...Read more >
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.Read less <
Keywords
Alternative assets
Liquidity
Exchange rate
English Keywords
Wine