Alternative investments: the case of wine

Lee W. Sanning, Sherrill Shaffer and Jo Marie Sharratt

No 37322, Working Papers from American Association of Wine Economists

Abstract: For repeat transactions data from monthly auction hammer prices, we analyze the level and quality of Bordeaux wine returns using the Fama-French Three-Factor Model and the Capital Asset Pricing Model. Returns average up to 0.75% per month above those predicted by these models. Further, investment grade wines benefit from low exposure to market risk factors, thus offering a valuable dimension of portfolio diversification. These findings are consistent with simple theoretical considerations and support a documented growing interest in wine investments.

Keywords: Demand and Price Analysis; Financial Economics (search for similar items in EconPapers)
Pages: 34
Date: 2007-11
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aawewp:37322

DOI: 10.22004/ag.econ.37322

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