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Alternative investments: the case of wine

  • Sanning, Lee W.
  • Shaffer, Sherrill L.
  • Sharratt, Jo Marie

For 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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File URL: http://purl.umn.edu/37322
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Paper provided by American Association of Wine Economists in its series Working Papers with number 37322.

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Date of creation: Nov 2007
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Handle: RePEc:ags:aawewp:37322
Contact details of provider: Web page: http://www.wine-economics.org

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