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Wine market efficiency: Is glass half full or half empty?

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  • Shynkevich, Andrei

Abstract

This study investigates the efficiency of wine market and explores the predictability in wine returns. Daily returns on a portfolio of wines denominated in the original currency of trade for the period exhibit significant positive serial correlation that persists further when wine returns are sampled at weekly and monthly frequencies. Abnormal excess returns on wine are earned by various trading strategies designed to exploit trending behavior in asset prices before trading fees. After accounting for market frictions such as transaction costs, the abnormal profitability from wine trading evaporates. Claims of inefficiency and return predictability in a market sensitive to market frictions can be exaggerated when the latter are ignored.

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  • Shynkevich, Andrei, 2025. "Wine market efficiency: Is glass half full or half empty?," International Review of Economics & Finance, Elsevier, vol. 98(C).
  • Handle: RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000589
    DOI: 10.1016/j.iref.2025.103895
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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