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Time-Varying Risk Premiums in the Framework of Wine Investment

Author

Listed:
  • Eric Le Fur

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

  • Hachmi Ben Ameur
  • Benoit Faye

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

Abstract

This 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)

Suggested Citation

  • Eric Le Fur & Hachmi Ben Ameur & Benoit Faye, 2016. "Time-Varying Risk Premiums in the Framework of Wine Investment," Post-Print hal-03930353, HAL.
    • Handle: RePEc:hal:journl:hal-03930353
    DOI: 10.1017/jwe.2016.15
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    Citations

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    Cited by:

    1. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    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. Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2024. "Message in a bottle: Forecasting wine prices," Journal of Wine Economics, Cambridge University Press, vol. 19(1), pages 64-91, February.

    More about this item

    Keywords

    Betas; DCC-GARCH; Fine wines; Liv-ex; Risk premium;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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