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

被引：11

作者：

Masset, Philippe ^{[1
]}

Weisskopf, Jean-Philippe ^{[1
]}

Cardebat, Jean-Marie ^{[2
]}

Faye, Benoit ^{[3
]}

Le Fur, Eric ^{[3
]}

机构：

[1] Ecole Hoteliere Lausanne, HES SO, Haute Ecole Specialisee Suisse Occidentale, Route Cojonnex 18, CH-1000 Lausanne, Switzerland

[2] Univ Bordeaux, Ave Leon Duguit, F-33608 Pessac, France

[3] INSEEC Grande Ecole, Hangar 19, F-33070 Bordeaux, France

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2021年 / 82卷

关键词：

Wine; Alternative assets; Liquidity; Exchange rate; HEDONIC PRICE EQUATION; BORDEAUX WINE; INVESTMENT; RETURN; QUALITY; HEDGE; EQUILIBRIUM; MARKET; DIVERSIFICATION; RATINGS;

D O I：

10.1016/j.qref.2021.06.023

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2021 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：1 / 25

页数：25

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