Time-Varying Risk Premiums in the Framework of Wine Investment
| dc.rights.license | open | en_US |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | LE FUR, Eric | |
| dc.contributor.author | BEN AMEUR, Hachmi | |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | FAYE, Benoit | |
| dc.date.accessioned | 2023-01-09T10:29:08Z | |
| dc.date.available | 2023-01-09T10:29:08Z | |
| dc.date.issued | 2016-11-04 | |
| dc.identifier.issn | 1931-4361 | en_US |
| dc.identifier.uri | oai:crossref.org:10.1017/jwe.2016.15 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/171619 | |
| dc.description.abstractEn | AbstractThis article examines the time-varying risk premium with reference to investments in fine wines. Unlike previous studies, our article focuses on this issue within the context of the financial crisis. To do this, we propose the use of a conditional capital asset pricing model and a multivariate generalized autoregressive conditional heteroskedasticity model on several appellation wines worldwide. We find that Bordeaux fine wines were more volatile during the financial crisis and are less volatile in non-crisis periods. In addition, while the volatility of Burgundy wines is second only to Bordeaux wines, non-French fine wines (Australia, Italy, and USA) exhibit inverse volatility trends to French fine wines. (JEL Classifications: C50, G01, G11, Q13) | |
| dc.language.iso | EN | en_US |
| dc.source | crossref | |
| dc.subject.en | Betas | |
| dc.subject.en | DCC-GARCH | |
| dc.subject.en | Fine wines | |
| dc.subject.en | Liv-ex | |
| dc.subject.en | Risk premium | |
| dc.title.en | Time-Varying Risk Premiums in the Framework of Wine Investment | |
| dc.type | Article de revue | en_US |
| dc.identifier.doi | 10.1017/jwe.2016.15 | en_US |
| dc.subject.hal | Sciences de l'Homme et Société/Economies et finances | en_US |
| bordeaux.journal | Journal of Wine Economics | en_US |
| bordeaux.page | 355-378 | en_US |
| bordeaux.volume | 11 | en_US |
| bordeaux.hal.laboratories | Laboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954 | en_US |
| bordeaux.issue | 03 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.institution | CNRS | en_US |
| bordeaux.peerReviewed | oui | en_US |
| bordeaux.inpress | non | en_US |
| bordeaux.import.source | dissemin | |
| hal.identifier | hal-03930353 | |
| hal.version | 1 | |
| hal.date.transferred | 2023-01-09T10:29:10Z | |
| hal.export | true | |
| workflow.import.source | dissemin | |
| dc.rights.cc | CC BY | en_US |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal%20of%20Wine%20Economics&rft.date=2016-11-04&rft.volume=11&rft.issue=03&rft.spage=355-378&rft.epage=355-378&rft.eissn=1931-4361&rft.issn=1931-4361&rft.au=LE%20FUR,%20Eric&BEN%20AMEUR,%20Hachmi&FAYE,%20Benoit&rft.genre=article |
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