Liquid Gold in the Glass: Fine Wine Investment And Portfolio Diversification Gains
Date Issued
2013
Date
2013
Author(s)
Cheng, Miao-Yi
Abstract
Hedonic model of wine price at auction is used to estimate quarterly and semi-annual price index for the period 2005-2013. As in other studies of wine investment, wine does compare favorable to traditional financial tools, but there is little support for the proposition that the investment return of wine is low. The return of wine is shown to outperform traditional assets in US and Hong Kong markets, and the risk measured by standard deviation is beneath Hang Seng index. Measures from mean- variance model and capital asset pricing model also show that wine does provide the modest diversification benefit. The empirical result also shows that the hammer price in Hong Kong auction realized exceeds those realized at others.
Subjects
特徵價格模型
資本資產訂價模型
投資組合風險分散
紅白酒投資
Type
thesis
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