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

The Quarterly Review of Economics and Finance, 2021, vol. 82, issue C, 1-25

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)
JEL-codes: C50 G11 Q14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:82:y:2021:i:c:p:1-25

DOI: 10.1016/j.qref.2021.06.023

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