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

Philippe Masset, Jean-Philippe Weisskopf, Jean-Marie Cardebat (), Benoît Faye and Eric Le Fur
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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

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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.

Keywords: Wine; Alternative assets; Liquidity; Exchange rate (search for similar items in EconPapers)
Date: 2021-11-01
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Citations: View citations in EconPapers (7)

Published in Quarterly Review of Economics and Finance, 2021, 82, pp.1-25. ⟨10.1016/j.qref.2021.06.023⟩

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Journal Article: Analyzing the risks of an illiquid and global asset: The case of fine wine (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03703194

DOI: 10.1016/j.qref.2021.06.023

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