Looking Beyond Wine Risk-Adjusted Performance
In this paper, we use copula-GARCH models applied to daily data to test the time-varying dependence of the most representative wine-price index (Liv-ex 50,), in a portfolio composed of the six main stock markets (SP500, CAC40, DAX30, FTSE100 and Hang Seng). Our results reveal that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry and extreme events. The Liv-ex 50 is thus an attractive diversification tool for risk-averse investors.
- Revue(s) Journal of Wine Economics, vol. 15, issue 2
- Classement(s) CNRS 3
Attributes’ specification of wine indexes: is devil in the details?
The dispersion of prices on the fine wines market raises the issue of the wine price index construction and valuation of wine funds. In this paper, we first propose an extended hedonic function to better control good heterogeneity (which is a major source of price dispersion) by encoding auction experts’ comments about the state of preservation of the bottles. Second, we use a multiplicative heteroscedastic model to identify the attributes providing the most price dispersion. Outcomes allow for defining the relevant components of wine price hedonic function, and spurs data providers to develop the information on wine products. This result might be useful for professionals willing to improve their fine wine valuation process and then would improve the fine wines market efficiency.
- Co-auteur(s) Cardebat J., Faye B., Le Fur E., Masset P.
- Revue(s) Bankers Markets & Investors
- Classement(s) FNEGE 3
Crowdfunding in the Wine Industry
Crowdfunding has recently emerged as a novel way of financing new ventures. It coincides with a growing interest in wine as an investment good and with a search for new funding opportunities by wine makers. In this study, we examine potential investors willing to engage in wine crowdfunded projects and the kind of revenue that would attract them. We presented an original survey where respondents were asked about their wine consumption and purchase, their knowledge about crowdfunding, their relation to the internet, their investment and project related to wine crowdfunding, and their expectations concerning the returns from this type of contribution. Our results suggest that among all forms of crowdfunding, the donation/voluntary contribution side driven by intrinsic motivation is likely to remain marginal compared to crowdfunding as an investment or a form of early purchase.
- Co-auteur(s) Bargain O., Cardebat J., Vignolles A.
- Revue(s) Journal of Wine Economics 13, 1, 57-82
- Classement(s) FNEGE 3, CNRS 3
The law of one price? Price dispersion on the auction market for fine wine
This paper examines the strong version of the law of one price (LOOP) on the auction market for fine wine. We draw on worldwide auction prices from eight auction houses,1 covering the time period from 2000 to 2012. Employing a hedonic approach, we find significant price premiums in particular in Hong Kong and between auction companies (independent of their locations). The price premiums by far exceed the expected transaction costs, casting doubt on the existence of the strong version of LOOP in the fine wine market. Our results suggest that heterogeneity in buyer preferences may crucially contribute to the observed price dispersion. In particular, although wines suspected of being counterfeits are sold at discounts in Western markets, they fetch price premiums in Hong Kong.
- Co-auteur(s) Cardebat J., Faye B., Le Fur E., Storchmann K.
- Revue(s) Journal of Wine Economics
- Classement(s) CNRS 3
Crowdfunding in the Wine Sector: What Consumers Want?
- Co-auteur(s) Cardebat J., Vignolles A.
- Nom de la conférence Journée de Recherche sur le Vin IRGO
- Pays, ville, date de la conférence France, Bordeaux, Décembre 2019
The Palgrave Handbook of Wine Industry Economics
This Palgrave Handbook offers the first international comparative study into the efficiency of the industrial organization of the global wine industry. Looking at several important vineyards of the main wine countries, the contributors analyze differences in implementation and articulation of three key stages: grape production, wine making and distribution (marketing, selling and logistics). By examining regulations, organization theory, industry organizational efficiency and vertical integration, up to date strategies in the sector are presented and appraised. Which models are most efficient? What are the most relevant factors for optimal performance? How do reputation and governance impact the industry? Should different models co-exist within the wine countries for global success?
- Editeur(s) Palgrave Macmillan
Wine, Macroeconomics and Finance
Ce numéro spécial "Wine, Macroeconomics and Finance" du Journal of Wine Economics s'appuie sur une sélection d'articles présentés à la conférence organisée les 29-30 novembre 2018 par l'INSEEC SBE, en partenariat avec l'INFER, sur le campus de Lyon. Le numéro spécial comporte 5 articles sur les thèmes de la finance (2 articles) et du commerce international (3 articles) dans le secteur du vin. Il révèle l'évolution des recherches académiques et l'application des dernières techniques en finance et commerce au secteur du vin.
- Revue(s) Journal of Wine Economics - CNRS 3
Attributes’ specification of wine indexes: is devil in the detail?
In this paper, the validity of information provided by hedonic index on collectible markets is questioned through the price dispersion issue. A very current issue indeed, while wealthy households and specific investment funds included more and more collectibles in their portfolio. However, hedonic analysis (Rosen, 1974) implies two successive steps: the first one estimates the implicit prices of a finite number of attributes while the second one regresses these implicit prices on buyers’ characteristics to estimate bid functions taking account of possible market segmentations. Yet hedonic literature on collectible (specifically in auction markets) fails to consider whole the attributes and buyers’ preferences needed to run a complete hedonic analysis. Consequently, a unspecified (good and agent) heterogeneity generates a price dispersion and biases the information provided by hedonic indices. Without buyer’s information provided by auction houses according to their non-disclosure agreements, we are only able to produce some back door solution to improve the market efficiency. We first propose an extended hedonic function to better control good heterogeneity by using auction expert comments. Then we attempt to identify the attributes which provide the most dispersion according to their difference of valuation. A multiplicative heteroscedastic model is used in this way. Overall, this contribution provides a key reference to define the relevant components of wine price hedonic function and spurs data providers to develop the information on wine product and to specify the origin of buyers for raising the explanatory power of our hedonic models.
- Co-auteur(s) Cardebat J., Le Fur E.
- Nom de la conférence 25th annual VDQS conference
- Pays, ville, date de la conférence France, Dijon, 2018 (May 25-28)
Crowdfunding in Wine
- Co-auteur(s) Cardebat J., Bargain 0. , Vignolles A.
- Nom de la conférence American Association of Wine Economists
- Pays, ville, date de la conférence France, Bordeaux, Juin 2016