The price of wine

Dimson, Elroy; Rousseau, Peter L.; Spaenjers, Christophe

doi:10.1016/j.jfineco.2015.08.005

Cited by 125 publications

(101 citation statements)

References 47 publications

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“…Next, a number of papers have explored the relationship between nonfinancial benefits and average financial returns in collectibles markets. Mandel (2009) calibrates an asset pricing model in which a conspicuous consumption utility dividend endogenously lowers the average returns on art investments, while Jovanovic (2013) and Dimson, Rousseau, and Spaenjers (2015) investigate whether the types of wines that generate higher nonfinancial dividends deliver lower financial returns. 5 Yet, these papers do not address the effects of the differences that exist among art buyers in their tastes and motives for acquisition.…”

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confidence: 99%

A Model of Trading in the Art Market

Lovo

Spaenjers

2018

American Economic Review

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We present an infinite-horizon model of endogenous trading in the art auction market. Agents make purchase and sale decisions based on the relative magnitude of their private use value in each period. Our model generates endogenous cross-sectional and time-series patterns in investment outcomes. Average returns and buy-in probabilities are negatively correlated with the time between purchase and resale (attempt). Idiosyncratic risk does not converge to zero as the holding period shrinks. Prices and auction volume increase during expansions. Our model finds empirical support in auction data and has implications for selection biases in observed prices and transaction-based price indexes. (JEL C43, D44, E32, Z11)

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confidence: 99%

A Model of Trading in the Art Market

Lovo

Spaenjers

2018

American Economic Review

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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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“…In recent years, investors have progressively been expressing an interest in more exotic and alternative asset investments, such as fine wine. Dimson et al (2015) note that fine wine is a Chi-Wei Su, Xin Li _________________________________________________________________ DOI: 10.24818/18423264/54.1.20.10 142 popular investment among high net worth individuals (HNWI), who hold on average almost 10% of their wealth in "treasure assets", such as art, wine, jewelry, and precious metals, etc. According to Wine Spectator, sales of major wine auctions increased from $90 million in 2002 to $381.7 million in 2017, an increase of 324%.…”

Section: Introductionmentioning

confidence: 99%