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Reversals in Wine Auction Prices*

Published online by Cambridge University Press:  14 October 2013

Ginette McManus
Affiliation:
Haub School of Finance, Saint Joseph's University, 5600 City Avenue, Philadelphia, PA 19131; e-mail: gmcmanus@sju.edu.
Rajneesh Sharma*
Affiliation:
Haub School of Finance, Saint Joseph's University, 5600 City Avenue, Philadelphia, PA 19131
Ahmet Tezel
Affiliation:
Haub School of Finance, Saint Joseph's University, 5600 City Avenue, Philadelphia, PA 19131; e-mail: atezel@sju.edu.
*
(corresponding author). e-mail: rsharma@sju.edu

Abstract

This paper investigates reversals in wine auction prices following a series of strong positive and negative returns. Using the Chicago Wine Company's auction data, we find evidence of reversals after extreme wine price changes. There is a clear asymmetry in the market reaction to wine price increases and declines. Wine price declines after strong price increases are not, in general, as significant as wine price increases after strong price declines. The strongest reversal occurs for wines that have declined in price by more than 30 percent. (JEL Classifications: D44, G14)

Type
Articles
Copyright
Copyright © American Association of Wine Economists 2013 

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Footnotes

*

The authors thank Susan Koknar-Tezel as well as the participants at the 2010 Annual Conference of American Association of Wine Economists and the 2012 International Conference of the Academy of Business Administration in Munich who provided valuable comments and suggestions. The authors also thank the anonymous referee and the Editor of this Journal, Karl Storchmann, for a detailed review that shaped the final version of the paper. Of course, the authors accept responsibility for any remaining errors.

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