Time-Varying Risk Premiums in the Framework of Wine Investment

Eric Le Fur, Hachmi Ben Ameur and Benoit Faye
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Eric Le Fur: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux
Benoit Faye: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux

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Abstract: AbstractThis 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)

Keywords: Betas; DCC-GARCH; Fine wines; Liv-ex; Risk premium (search for similar items in EconPapers)
Date: 2016-11-04
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Citations: View citations in EconPapers (3)

Published in Journal of Wine Economics, 2016, 11 (03), pp.355-378. ⟨10.1017/jwe.2016.15⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03930353

DOI: 10.1017/jwe.2016.15

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