Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements

Faye, Benoît; Fur, Éric Le; Prat, Stéphanie

doi:10.1080/00036846.2015.1011321

Cited by 34 publications

(22 citation statements)

References 30 publications

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“…This result is surprising in light of the growing importance of liquidity in wine finance. We note, however, that our sample only contains the most exchanged wines on the fine wine market (Faye, Le Fur, and Prat, 2015). On this market, liquidity is probably not a crucial issue.…”

Section: Interpretation Of Resultsmentioning

confidence: 99%

On the Constancy of Hedonic Wine Price Coefficients over Time

Faye

Fur

2019

J Wine Econ

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This article tests the stability of the main hedonic wine price coefficients over time. We draw on an extensive literature review to identify the most frequently used methodology and define a standard hedonic model. We estimate this model on monthly subsamples of a worldwide auction database of the most commonly exchanged fine wines. This provides, for each attribute, a monthly time series of hedonic coefficients time series data from 2003 to 2014. Using a multivariate autoregressive model, we then study the stability of these coefficients over time and test the existence of structural or cyclical changes related to fluctuations in general price levels. We find that most hedonic coefficients are variable and either exhibit structural or cyclical variations over time. These findings shed doubt on the relevance of both short- and long-run hedonic estimations. (JEL Classifications: C13, C22, D44, G11)

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Section: Interpretation Of Resultsmentioning

confidence: 99%

On the Constancy of Hedonic Wine Price Coefficients over Time

Faye

Fur

2019

J Wine Econ

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“…Several studies have analysed the potential of fine wine as an investment (e.g. Faye et al, 2015;Masset and Henderson, 2010;Masset and Weisskopf, 2018a;Burton and Jacobsen, 2001;Dimson et al, 2015;Sanning et al, 2008) or studied the determinants of wine prices. 10 Previous research has tried to model the price of fine wine and has found several characteristics that explain, at least partly, the value of a specific bottle of wine.…”

Section: Wine Investmentsmentioning

confidence: 99%

Behavioural heterogeneity in wine investments

et al. 2019

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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. JEL Codes: C22; G11.

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“…Wine economists usually investigate different factors affecting fine wine prices (Ashenfelter, 2008;Outreville, 2011;Cardebat et al, 2014;Dimson et al, 2015) and examine price behaviour in the context of investment performance (Sanning et al, 2008, Masset et al, 2016, Masset & Weisskopf, 2018, price anomalies (Ashenfelter, 1989;McAfee, 1993;Ashta, 2006;Czupryna & Oleksy, 2015) or relationships among regional wine markets or their links to other financial markets (Faye et al, 2015). Variations in wine prices and their possible implications for risk management have been documented in Kourtis et al (2010).…”

Section: Related Literature and Hypotheses Developmentmentioning

confidence: 99%

The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market

Czupryna

Oleksy

2018

E-Finanse

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Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility of fine wines traded on three different trading systems: automated electronic exchange, auctions and over-the-counter agreements (the OTC market). Our findings confirm an important role of a fully automated, cost-effective wine exchange in improving pricing efficiency and reducing market risk. This may constitute useful information for professional wine traders and institutional investors, who might consider shifting from less transparent trading systems into an automated on-book venue. This may also be a valuable indication for the future development of trading infrastructure in wine and other agricultural commodity markets.

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Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements

Cited by 34 publications

References 30 publications

On the Constancy of Hedonic Wine Price Coefficients over Time

On the Constancy of Hedonic Wine Price Coefficients over Time

Behavioural heterogeneity in wine investments

The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market

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