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Looking Beyond Wine Risk-Adjusted Performance

Published online by Cambridge University Press:  08 September 2020

Frantz Maurer ,
Jean-Marie Cardebat  and
Linda Jiao
Frantz Maurer*
Affiliation:
KEDGE Business School and University of Bordeaux (IRGO, EA 4190), 680 cours de la Libération, 33405Talence Cedex, France
Jean-Marie Cardebat
Affiliation:
University of Bordeaux (Larefi) and INSEEC U., avenue Léon Duguit 33 608Pessac, France; e-mail: jean-marie.cardebat@u-bordeaux.fr.
Linda Jiao
Affiliation:
University of Bordeaux (Larefi), avenue Léon Duguit 33 608Pessac, France; e-mail: linda.jiao@u-bordeaux.fr.
*
e-mail: frantz.maurer@kedgebs.com (corresponding author).
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Abstract

In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events. (JEL Classifications: G110, G120, Q14)

Keywords

alternative assetscopulasportfolio managementwine
Type
Articles
Information
Journal of Wine Economics , Volume 15 , Special Issue 2: Wine, Macroeconomics, and Finance , May 2020 , pp. 229 - 259
Copyright
Copyright © American Association of Wine Economists, 2020

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Footnotes

We thank Karl Storchmann and two anonymous referees for constructive comments and suggestions. This paper benefited from comments from participants of the Wine Macroeconomics and Finance workshop held in Lyon, France, in November 2018.

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