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Is Wine a Good Choice for Investment?

Author

Listed:
  • Elie Bouri

    (USEK Business School, Holy Spirit University of Kaslik (USEK))

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Wing-Keung Wong

    (Department of Finance, Asia University, Department of Economics and Finance, Hang Seng Management College and Department of Economics,Lingnan University)

  • Zhenzhen Zhu

    (School of Statistics, Shandong University of Finance and Economics)

Abstract

We extend our understanding on the role of wine investment within a portfolio of different assets (US/UK equities, bonds, gold, and housing) by considering a rich methodology based, among others, on the mean-variance and stochastic-dominance approaches. The main findings suggest that wine is the best investment among all individual assets under study, and investors prefer to invest in with-wine portfolios than without-wine portfolios to gain higher expected utility when short sale is not allowed. However, investors are indifferent between portfolios with and without wine when short-selling is allowed. In addition, with-wine portfolios generally either dominate individual assets or are indifferent from individual assets. Interestingly, the with-wine portfolios first-order stochastically dominates housing in both long-only and short-allowed strategies, pointing towards market inefficiency and thus the possibility for an expected arbitrage opportunity. Finally, we reveal that investors prefer the low-risk with-wine portfolios to the equal-weighted portfolio, but are indifferent between the high-risk with-wine portfolios and the naïve portfolio for both long-only and short-allowed strategies. Our findings can be used by investors in their investment processes and reveal the possibility of earning abnormal returns when wine is included in the investment.

Suggested Citation

  • Elie Bouri & Rangan Gupta & Wing-Keung Wong & Zhenzhen Zhu, 2017. "Is Wine a Good Choice for Investment?," Working Papers 201781, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201781
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    Cited by:

    1. Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019. "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," Working Papers 201913, University of Pretoria, Department of Economics.
    2. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Econometric Institute Research Papers 18-024/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Zongxin Li & Xinge Li & Yongchang Hui & Wing-Keung Wong, 2018. "Maslow Portfolio Selection for Individuals with Low Financial Sustainability," Sustainability, MDPI, Open Access Journal, vol. 10(4), pages 1-11, April.
    4. Eric Le Fur & Jean-François Outreville, 2019. "Fine wine returns: a review of the literature," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 196-214, May.
    5. Das, Sonali & Demirer, Riza & Gupta, Rangan & Mangisa, Siphumlile, 2019. "The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 132-147.
    6. Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
    7. Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
    8. Wing-Keung Wong & Hooi Hooi Lean & Michael McAleer & Feng-Tse Tsai, 2018. "Why Are Warrant Markets Sustained in Taiwan but Not in China?," Sustainability, MDPI, Open Access Journal, vol. 10(10), pages 1-17, October.

    More about this item

    Keywords

    Wine investment; mean-variance portfolio optimization; mean-risk criterion; stochastic dominance; asset classes;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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