Alternative investments: the case of wine
AbstractFor repeat transactions data from monthly auction hammer prices, we analyze the level and quality of Bordeaux wine returns using the Fama-French Three-Factor Model and the Capital Asset Pricing Model. Returns average up to 0.75% per month above those predicted by these models. Further, investment grade wines benefit from low exposure to market risk factors, thus offering a valuable dimension of portfolio diversification. These findings are consistent with simple theoretical considerations and support a documented growing interest in wine investments.
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Bibliographic InfoPaper provided by American Association of Wine Economists in its series Working Papers with number 37322.
Date of creation: Nov 2007
Date of revision:
wine investments; wine market; Bordeaux wines; wine prices; Demand and Price Analysis; Financial Economics;
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