000002151 001__ 2151
000002151 005__ 20190423205538.0
000002151 037__ $$aCONFERENCE
000002151 041__ $$aeng
000002151 245__ $$bthe case of fine wine$$aAnalyzing the risk of an illiquid asset :
000002151 260__ $$c2017$$b22-23 June 2017$$aLisbon, Portugal
000002151 269__ $$a2017-06
000002151 300__ $$a42 p.
000002151 506__ $$avisible
000002151 520__ $$9eng$$aWe use a unique and very deep database to examine the performance of wine investments during 2003–2014. Our results reveal that the returns stemming from those investments are important but can largely be explained by their exposure to common risk factors. As such and contradicting prior evidence, fine wines do not seem to offer abnormal returns. While explicitly accounting for non-synchronous trading, we indeed show that the market beta of wine is always positive and significant. Liquidity risk also turns out to be an essential determinant of wine returns. The fact that the liquidity factor, which is estimated on the basis of stock returns, can explain the returns on an exotic asset such as wine suggests that illiquidity is a common, cross-asset source of risk. Hence, this paper contributes to the literature on alternative investments and wine as an asset class and provides additional evidence regarding the nature of liquidity risk.
000002151 546__ $$aEnglish
000002151 540__ $$acorrect
000002151 592__ $$aEHL
000002151 592__ $$cEconomie et Services
000002151 65017 $$aEconomie/gestion
000002151 6531_ $$9eng$$awine
000002151 6531_ $$9eng$$aalternative assets
000002151 655_7 $$afull paper
000002151 6531_ $$9eng$$aliquidity
000002151 700__ $$uEcole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland$$aMasset, Philippe
000002151 700__ $$uUniversité de Bordeaux & Bordeaux Wine Economics$$aCardebat, Jean-Marie
000002151 700__ $$uINSEEC & Bordeaux Wine Economics$$aFaye, Benoît
000002151 700__ $$aLe Fur, Eric$$uINSEEC & Bordeaux Wine Economics
000002151 711__ $$a2017 FMA European Conference$$cLisbon, Portugal$$d22/06/2017 / 23/06/2017
000002151 773__ $$tProceedings of the Financial Management Association (FMA) European Conference 2017
000002151 8564_ $$uhttps://hesso.tind.io/record/2151/files/Masset_Analyzingriskilliquidasset_2017.pdf$$s781564
000002151 8564_ $$xpdfa$$uhttps://hesso.tind.io/record/2151/files/Masset_Analyzingriskilliquidasset_2017.pdf?subformat=pdfa$$s1894748
000002151 906__ $$aGREEN
000002151 909CO $$pDOMAINE_ECONOMIESERVICE_CONFERENCE$$pGLOBAL_SET$$ooai:hesso.tind.io:2151
000002151 950__ $$aI1
000002151 980__ $$aconference