Wine indices in practice : nicely labeled but slightly corked

Masset, Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland) ; Weisskopf, Jean-Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

This paper examines and compares wine price indices available on the wine market with those proposed in academia. We especially analyze the impact illiquidity has on the different indices and validate our findings using a simulation which allows us to define the biases induced by illiquidity on the statistical properties of the indices. We also propose adjustments to help market participants improve the reliability of wine indices and ultimately their decision-making. Our evidence indicates that both the volatility and the beta of fine wine is understated when estimated with existing wine index data. The true volatility and beta of the First Growths from Bordeaux appear to be close to 20%, respectively 0.45–0.60, suggesting that the diversification potential of fine wine is more limited than commonly believed.


Keywords:
Article Type:
scientifique
Faculty:
Economie et Services
School:
EHL
Subject(s):
Economie/gestion
Date:
2018
Pagination:
15 p.
Published in:
Economic modelling
Numeration (vol. no.):
2018, vol. 68, pp. 555-569
DOI:
ISSN:
0264-9993
Appears in Collection:

Note: The status of this file is: restricted


 Record created 2018-03-05, last modified 2018-12-20

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