IDEAS home Printed from https://ideas.repec.org/p/ags/uwauwp/139663.html
   My bibliography  Save this paper

To Save or Savour: A Review of Wine Investment

Author

Listed:
  • Fogarty, James Joseph
  • Sadler, Rohan

Abstract

It has been argued that adding wine to an investment portfolio provides a diversification benefit. There is not, however, agreement on how the return to wine should be estimated. Nor is there agreement on a standard approach to test for a diversification benefit. By considering different approaches to estimating the return to wine and testing for a diversification benefit it is shown that claims wine provides a diversification benefit should be treated with caution.

Suggested Citation

  • Fogarty, James Joseph & Sadler, Rohan, 2012. "To Save or Savour: A Review of Wine Investment," Working Papers 139663, University of Western Australia, School of Agricultural and Resource Economics.
  • Handle: RePEc:ags:uwauwp:139663
    as

    Download full text from publisher

    File URL: http://purl.umn.edu/139663
    Download Restriction: no

    References listed on IDEAS

    as
    1. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
    2. Masset, Philippe & Henderson, Caroline, 2010. "Wine as an Alternative Asset Class," Journal of Wine Economics, Cambridge University Press, vol. 5(01), pages 87-118, March.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Case, Bradford & Quigley, John M, 1991. "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 50-58, February.
    5. Fogarty, James J., 2010. "Wine Investment and Portfolio Diversification Gains," Journal of Wine Economics, Cambridge University Press, vol. 5(01), pages 119-131, March.
    6. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    7. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
    8. Sirapat Polwitoon & Oranee Tawatnuntachai, 2008. "Emerging Market Bond Funds: A Comprehensive Analysis," The Financial Review, Eastern Finance Association, vol. 43(1), pages 51-84, February.
    9. Krasker, William S, 1979. "The Rate of Return to Storing Wines," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1363-1367, December.
    10. James J. Fogarty & Callum Jones, 2011. "Return To Wine: A Comparison Of The Hedonic, Repeat Sales And Hybrid Approaches," Australian Economic Papers, Wiley Blackwell, vol. 50(4), pages 147-156, December.
    11. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
    12. C. Lanier Benkard & Patrick Bajari, 2005. "Hedonic Price Indexes With Unobserved Product Characteristics, and Application to Personal Computers," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 61-75, January.
    13. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-888, September.
    14. Rosen, Sherwin, 1974. "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy, University of Chicago Press, vol. 82(1), pages 34-55, Jan.-Feb..
    15. James Joseph Fogarty, 2006. "The return to Australian fine wine," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 33(4), pages 542-561, December.
    16. Jaeger, Elizabeth, 1981. "To Save or Savor: The Rate of Return to Storing Wine: Comment," Journal of Political Economy, University of Chicago Press, vol. 89(3), pages 584-592, June.
    17. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel C, 1987. "Professionally Managed, Publicly Traded Commodity Funds," The Journal of Business, University of Chicago Press, vol. 60(2), pages 175-199, April.
    18. Jack Triplett, 2004. "Handbook on Hedonic Indexes and Quality Adjustments in Price Indexes: Special Application to Information Technology Products," OECD Science, Technology and Industry Working Papers 2004/9, OECD Publishing.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Alternative Assets; Portfolio Optimisation; Financial Economics; Risk and Uncertainty;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uwauwp:139663. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/aruwaau.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.