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Reversals in Wine Auction Prices

Author

Listed:
  • McManus, Ginette
  • Sharma, Rajneesh
  • Tezel, Ahmet

Abstract

This paper investigates reversals in wine auction prices following a series of strong positive and negative returns. Using the Chicago Wine Company's auction data, we find evidence of reversals after extreme wine price changes. There is a clear asymmetry in the market reaction to wine price increases and declines. Wine price declines after strong price increases are not, in general, as significant as wine price increases after strong price declines. The strongest reversal occurs for wines that have declined in price by more than 30 percent. (JEL Classifications: D44, G14)

Suggested Citation

  • McManus, Ginette & Sharma, Rajneesh & Tezel, Ahmet, 2013. "Reversals in Wine Auction Prices," Journal of Wine Economics, Cambridge University Press, vol. 8(2), pages 189-197, November.
    • Handle: RePEc:cup:jwecon:v:8:y:2013:i:02:p:189-197_00
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    Cited by:

    1. Masset, Philippe & Weisskopf, Jean-Philippe & Cardebat, Jean-Marie & Faye, Benoît & Le Fur, Eric, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 1-25.
    2. Masset, Philippe & Maurer, Frantz, 2021. "Mitigating downside risk of portfolio diversification: Wine versus other tangible assets," Economic Modelling, Elsevier, vol. 102(C).

    More about this item

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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