INVITATION
(apologies for duplicated mails!)
We are pleased to invite you to our next Investment Talk, organized by the Spängler IQAM
Research Center. The Center is a joint initiative of TU Vienna (Vienna University of
Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM
Invest and provides a platform for exchange in the field of asset management between
academics, practitioners and the public. Both the topic and the speaker for our next event
are particularly interesting. We will be discussing the risk and return characteristics of
five long-established Bordeaux wines, with price histories that go back more than 100
years. Our speaker is Professor Elroy Dimson, who is well-known for his important
contributions in the field of asset management, such as his work on estimating betas or
his work on risk premia in the stock markets.
INVESTMENT TALK
Date: Wednesday, March 19, 2014 - 4 pm
Speaker: PROF. ELROY DIMSON
Topic: "THE PRICE OF WINE"
ABSTRACT:
We examine the impact of aging on wine prices and the performance of wine as a long-term
investment using a unique historical database for five long-established Bordeaux wines
that we construct from auction and dealer prices. We estimate the life-cycle price
patterns with a regression model that avoids multicollinearity between age, vintage year,
and time by replacing vintage effects with annual data on production yields and weather
quality. In line with the predictions of an illustrative model, we observe the highest
appreciation rates for young high-quality wines that are still maturing. Our results also
suggest that owners of famous wines receive non-pecuniary benefits-especially for old
bottles-even though this "psychic" dividend is probably small relative to
financial returns. Using an arithmetic repeat-sales regression, we estimate an annualized
real financial return to wine investments (net of insurance and storage costs) of 4.1%
between 1900 and 2012. Wine returns are lower than equity returns but positively
correlated with them, yet wine does outperform government bonds, art, and stamps. We note
that the historical returns on wine documented here may have exceeded ex ante
expectations.
ABOUT ELROY DIMSON:
Elroy Dimson co-directs the Centre for Endowment Asset Management at Cambridge Judge
Business School, chairs the Strategy Council for the Norwegian Government Pension Fund,
chairs the Policy Committee for FTSE Group, and is Emeritus Professor of Finance at London
Business School. His publications include Triumph of the Optimists, Endowment Asset
Management, and the Global Investment Returns Yearbook. He has been an Associate Editor of
Journal of Finance, Review of Finance and other journals.
A co-designer of the FTSE 100 index, Elroy chairs FTSE's advisory board and serves on
the Financial Analysts Journal board. He is on the investment committees of Guy's
& St Thomas' Charity and the Foundation for Social Entrepreneurs. He is past
president of the European Finance Association, and Honorary Fellow of the CFA Society of
the UK (FSIP) and of the Institute of Actuaries. He recently received the CFA
Institute's James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs
Levy award.
REGISTRATION IS REQUIRED. We kindly ask to register before March 10th at
office(a)si-researchcenter.at
LOCATION:
WU, Building LC (Library & Learning Center),
Festsaal 1 (
http://gis.wu.ac.at/index.html?roomShow=LC.0.100)
Welthandelsplatz 1, 1020 Vienna
Contact and further information:
WU, Institute for Finance, Banking and Insurance
att. Martina Schlichting
Welthandelsplatz 1, Building D4, 4th Floor
1020 Vienna
Phone: +43 1 31336 6315
Mail: office(a)si-researchcenter.at, Web:
www.si-researchcenter.at