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Behavioural heterogeneity in wine investments

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Listed:
  • Adrian Fernandez-Perez
  • Bart Frijns
  • Alireza Tourani-Rad
  • Jean-Philippe Weisskopf

Abstract

We introduce a heterogeneous agent model to explain the dynamics of fine wine investments. Our results show evidence of the existence of both fundamentalists – those who trade on mean-reversion towards a fair value – and chartists – those who extrapolate recently observed price trends – in the wine market. Moreover, we document that market participants switch between the two trading strategies, allocating more weight to the strategy that has been the most accurate in forecasting wine index values in the recent past. This switching behaviour can explain the large variations in index values (bubbles and crashes) that are observed in the fine wine market.

Suggested Citation

  • Adrian Fernandez-Perez & Bart Frijns & Alireza Tourani-Rad & Jean-Philippe Weisskopf, 2019. "Behavioural heterogeneity in wine investments," Applied Economics, Taylor & Francis Journals, vol. 51(30), pages 3236-3255, June.
    • Handle: RePEc:taf:applec:v:51:y:2019:i:30:p:3236-3255
    DOI: 10.1080/00036846.2019.1566686
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    7. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).
    8. Masset, Philippe, 2024. "Market segments and pricing of fine wines over their lifecycle," Economic Modelling, Elsevier, vol. 141(C).

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