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Analyzing the risks of an illiquid and global asset: The case of fine wine

Author

Listed:
  • Philippe Masset
  • Jean-Philippe Weisskopf
  • Jean-Marie Cardebat

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

  • Benoît Faye

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

  • Eric Le Fur

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

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 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.

Suggested Citation

  • Philippe Masset & Jean-Philippe Weisskopf & Jean-Marie Cardebat & Benoît Faye & Eric Le Fur, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," Post-Print hal-03703194, HAL.
    • Handle: RePEc:hal:journl:hal-03703194
    DOI: 10.1016/j.qref.2021.06.023
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    Cited by:

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    2. Hachmi Ben Ameur & Eric Le Fur & Julien Pillot, 2023. "The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 589-608, August.
    3. Philippe Masset & Jean‐Philippe Weisskopf, 2022. "At what price should Bordeaux wines be released?," Economic Inquiry, Western Economic Association International, vol. 60(1), pages 392-412, January.
    4. Potrykus, Marcin, 2023. "Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles," International Review of Financial Analysis, Elsevier, vol. 87(C).
    5. Joyce P. Jacobsen, 2024. "Wine as an Investment," Wesleyan Economics Working Papers 2024-007, Wesleyan University, Department of Economics.
    6. Fromentin, Vincent & Pecchioli, Bruno & Moroz, David, 2024. "Time-varying causality among whisky, wine, and equity markets," Finance Research Letters, Elsevier, vol. 63(C).
    7. Hachmi Ben Ameur & Zied Ftiti & Eric Le Fur, 2024. "What can we learn from the analysis of the fine wines market efficiency?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 703-718, January.

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    More about this item

    Keywords

    Wine; Alternative assets; Liquidity; Exchange rate;
    All these keywords.

    JEL classification:

    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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