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Bordeaux Wine as a Financial Investment*

Published online by Cambridge University Press:  08 June 2012

Lee W. Sanning ,
Sherrill Shaffer  and
Jo Marie Sharratt
Lee W. Sanning
Affiliation:
Department of Economics and Finance, University of Wyoming, 1000 East University Ave., Laramie, WY, 82071, phone (307) 766–3848, e-mail:lsanning@uwyo.edu (corresponding author).
Sherrill Shaffer
Affiliation:
Department of Economics and Finance, University of Wyoming, 1000 East University Ave., Laramie, WY, 82071, phone (307) 766–2173, e-mail:shaffer@uwyo.edu
Jo Marie Sharratt
Affiliation:
Department of Economics and Finance, University of Wyoming, 1000 East University Ave., Laramie, WY, 82071, phone (970) 225–1275, e-mail:jo_mcguire@msn.com
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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 (JEL Classification: G11.G12).

Type
Articles
Information
Journal of Wine Economics , Volume 3 , Issue 1 , Spring 2008 , pp. 51 - 71
Copyright
Copyright © American Association of Wine Economists 2008

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