Behavioural heterogeneity in wine investments

Fernandez-Perez, Adrian (Auckland University of Technology, New Zealand) ; Frijns, Bart (Auckland University of Technology, New Zealand) ; Tourani-Rad, Alireza (Auckland University of Technology, New Zealand) ; Weisskopf, Jean-Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

We introduce a heterogeneous agent model to explain the dynamics of fine wine investments. Our results show evidence of the existence of both fundamentalists – those who trade on mean-reversion towards a fair value – and chartists – those who extrapolate recently observed price trends – in the wine market. Moreover, we document that market participants switch between the two trading strategies, allocating more weight to the strategy that has been the most accurate in forecasting wine index values in the recent past. This switching behaviour can explain the large variations in index values (bubbles and crashes) that are observed in the fine wine market.


Keywords:
Article Type:
scientifique
Faculty:
Economie et Services
School:
EHL
Institute:
Aucun institut
Subject(s):
Economie/gestion
Date:
2019-02
Pagination:
21 p.
Published in:
Applied Economics
Numeration (vol. no.):
2019, vol. 51, no. 30, pp. 3236-3255
DOI:
ISSN:
0003-6846
Appears in Collection:

Note: The file is under embargo until: 2020-08-04


 Record created 2019-10-02, last modified 2019-10-07

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