An en primeur agreement is an unconventional forward contract. In this article, we provide a new conceptual framework for analyzing the properties of en primeur prices based on the cost of carry approach. The results, based upon Bayesian modeling, indicate that the cost of carry increases up to 0.9598 when en primeur and bottled wines are traded in parallel. Moreover, our findings confirm that price dispersion around the mean value is greater for en primeur wines (22.42%) than for standard bottled wines (8.2%) traded after the sale of en primeur wines has ended. (JEL Classifications: G12, G15, L66, Q02)

This 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)