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Article Dans Une Revue Journal of Wine Economics Année : 2016

Time-Varying Risk Premiums in the Framework of Wine Investment

Résumé

AbstractThis article examines the time-varying risk premium with reference to investments in fine wines. Unlike previous studies, our article focuses on this issue within the context of the financial crisis. To do this, we propose the use of a conditional capital asset pricing model and a multivariate generalized autoregressive conditional heteroskedasticity model on several appellation wines worldwide. We find that Bordeaux fine wines were more volatile during the financial crisis and are less volatile in non-crisis periods. In addition, while the volatility of Burgundy wines is second only to Bordeaux wines, non-French fine wines (Australia, Italy, and USA) exhibit inverse volatility trends to French fine wines. (JEL Classifications: C50, G01, G11, Q13)
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Dates et versions

hal-03930353 , version 1 (09-01-2023)

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Eric Le Fur, Hachmi Ben Ameur, Benoit Faye. Time-Varying Risk Premiums in the Framework of Wine Investment. Journal of Wine Economics, 2016, 11 (03), pp.355-378. ⟨10.1017/jwe.2016.15⟩. ⟨hal-03930353⟩
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