Alternative Investments: The Case of Wine

33 Pages Posted: 14 Nov 2005 Last revised: 9 Apr 2012

See all articles by Lee W. Sanning

Lee W. Sanning

University of Wyoming - College of Business

Sherrill Shaffer

University of Wyoming

Jo Marie Sharratt

Independent

Date Written: November 2, 2006

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: Wine, Investing, Diversification, Asset Pricing, Portfolio

JEL Classification: G11, G12

Suggested Citation

Sanning, Lee W. and Shaffer, Sherrill and Sharratt, Jo Marie, Alternative Investments: The Case of Wine (November 2, 2006). Available at SSRN: https://ssrn.com/abstract=834944 or http://dx.doi.org/10.2139/ssrn.834944

Lee W. Sanning (Contact Author)

University of Wyoming - College of Business ( email )

1000 E. University Avenue
Laramie, WY 82071
United States
307-766-3848 (Phone)

Sherrill Shaffer

University of Wyoming ( email )

P.O. Box 3985
Laramie, WY 82071-3985
United States
307-766-2173 (Phone)
307-766-5090 (Fax)

Jo Marie Sharratt

Independent ( email )

No Address Available

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