Wine Price Risk Management: International Diversification and Derivative Instruments

Kourtis, Apostolos; Markellos, Raphael N.; Psychoyios, Dimitris

doi:10.2139/ssrn.1705515

Cited by 13 publications

(22 citation statements)

References 26 publications

(1 reference statement)

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“…In a portfolio framework evidence suggests that Bordeaux wines are relatively uncorrelated with stock markets and should therefore be included in a portfolio. Kourtis et al (2012) study wines from different world regions and confirm results with correlations offering significant diversification benefits to investors. Masset and Weisskopf (2010) show that wine from different French, Italian and US wine regions outperformed the US stock market while displaying a lower volatility.…”

Section: Wine As An Investmentsupporting

confidence: 71%

Red obsession: The ascent of fine wine in China

Masset

Weisskopf

Faye

et al. 2016

Emerging Markets Review

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This article uses hammer prices from five global auction houses to analyse the price premium Bordeaux fine wine yields at Hong Kong wine auctions. We find that fine wine is on average sold at a 19% premium in Hong Kong. We further observe that the Hong Kong premium is not uniform and most pronounced for wines with perfect Parker scores and the most powerful brands. The premium has declined throughout the sample period from 60% in 2008 to a level of around 15% since 2012. This can be attributed to the increase in knowledge on fine wine by Chinese customers.

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Section: Wine As An Investmentsupporting

confidence: 71%

Red obsession: The ascent of fine wine in China

Masset

Weisskopf

Faye

et al. 2016

Emerging Markets Review

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“…He shows poor riskreturn characteristics of wine but its low correlation with other asset classes makes it an interesting investment from a portfolio perspective. Kourtis et al (2012) look at investment-grade wines from different world regions and confirm Fogarty's results. Masset and Weisskopf (2010) show evidence that over the period 1996-2009 an index including French, Italian and US wine generates higher returns and a lower volatility than the US stock market.…”

Section: Wine As An Investmentsupporting

confidence: 73%

A study of the performance of fine wine on the Swiss market

Masset

Weisskopf

2016

IJESB

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This paper studies the price evolution and the performance of an investment in fine wine on the Swiss market over the period 2002-2012. Using a repeat-sales-regression approach we calculate different wine indices based on auction hammer prices obtained by Steinfels Weinauktionen. Our results show that different fine wines followed a similar evolution across the sample period but that the amplitude of returns strongly depended on wine regions and types. While Bordeaux and Burgundy wines performed well, wines from the Rhône valley and Italy show a poorer performance. Compared to financial assets wine has significantly outperformed stocks, but not bonds. We further find that the Swiss franc appreciation has had a significant impact on wine prices.

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“…In order to capture the potential benefits of diversification, however, portfolio management requires the examination of assets beyond the simple study of risks and returns. Exceptions to this strand of wine literature are of Bouri (2014), Fogarty (2007, 2010), Kourtis et al (2012), Masset and Henderson (2010), Masset and Weisskopf (2010), and Sanning et al (2008), who addressed this issue. Based on the efficient frontier method, Fogarty (2007) provides evidence that the inclusion of fine wine in a portfolio of stocks and bonds leads to a better risk-return trade-off.…”

Section: Related Literaturementioning

confidence: 99%

“…Previous studies on the diversification benefits of fine wine, such as Fogarty (2007, 2010), Kourtis et al (2012), Masset and Henderson (2010), and Sanning et al (2008), usually use unconditional correlation frameworks and focus only on risk-return relationships. In asset allocation and risk management, however, conditional covariance matrices typically outperform unconditional covariance matrices (Harris and Nguyen, 2013).…”

Section: Introductionmentioning

confidence: 99%

Fine Wines and Stocks from the Perspective of UK Investors: Hedge or Safe Haven?

Bouri

Roubaud

2016

J Wine Econ

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The prior literature disregards the time-varying conditional correlation and its importance for portfolio diversification when it assesses the risk-return profile of fine wine with that of stocks. To address this limitation, this paper applies a dynamic conditional correlation model and examines the co-movements between fine wine and stock prices in the United Kingdom (UK). Based on monthly data from January 2001 to February 2014, we find that fine wine is a hedge against movements in UK stocks. Nevertheless, it cannot act as an effective safe haven during market turmoil. Those findings have noteworthy implications for financial advisors and portfolio managers who are interested in alternative investments. (JEL Classifications: G1, G11, Q1, Q14)

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Wine Price Risk Management: International Diversification and Derivative Instruments

Cited by 13 publications

References 26 publications

Red obsession: The ascent of fine wine in China

Red obsession: The ascent of fine wine in China

A study of the performance of fine wine on the Swiss market

Fine Wines and Stocks from the Perspective of UK Investors: Hedge or Safe Haven?

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