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Looking Beyond Wine Risk-Adjusted Performance

Author

Listed:
  • Frantz Maurer
  • Jean Marie Cardebat

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

  • Linda Jiao

    (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux)

Abstract

In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events.

Suggested Citation

  • Frantz Maurer & Jean Marie Cardebat & Linda Jiao, 2020. "Looking Beyond Wine Risk-Adjusted Performance," Post-Print hal-03675452, HAL.
    • Handle: RePEc:hal:journl:hal-03675452
    DOI: 10.1017/jwe.2020.18
    as

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    Cited by:

    1. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    2. Stephen Bazen & Jean-marie Cardebat, 2022. "Why have Bordeaux wine prices become so difficult to forecast?," Economics Bulletin, AccessEcon, vol. 42(1), pages 124-142.
    3. 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

    Keywords

    alternative assets; copulas; portfolio management; wine;
    All these keywords.

    JEL classification:

    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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