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How do Illiquid Assets Improce Portfolio Performance? The Case of Bordeaux Wine

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Author Info
Mougeot, N.
Perignon, C.
Abstract

Using a large sample of auctions results of prestigious Bordeaux wines, we provide an analysis of the price formation of wine through auctions sales. Estimating an hedonic price function, we identify the most relevant characteristics influencing the price of Bordeaux wines during auctions sales. The Repeat-Sale Regression (RSR) methodology is used to construct a wine index for the period January 1994-June 1997. We compare the evolution of wine price with several financial indices. We finally study the impact of an investment in wine on the risk-return characteristics of a diversified portfolio of a risk-averse investor.

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Publisher Info
Paper provided by University of Geneva, Department of Political Economy in its series University of Geneva Economics Working Papers with number 99.09.

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Length: 20 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:geneec:99.09

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Web page: http://www.unige.ch/ses/ecopo/
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Related research
Keywords: FINANCIAL MARKET AUCTIONS

Find related papers by JEL classification:
D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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