UC Davis Agricultural and Resource Economics

ARE at AAEA: Tor Tolhurst: Model-free detection of a speculative asset bubble: Evidence from the world market in superstar wines

July 31, 2018

Time: 2:15–3:45 p.m. Tuesday, Aug. 7

Abstract

Ever wondered if you paid too much for a wine? If you bought the premier cru Bordeaux wine Lafite Rothschild between late-2009 and 2013, at roughly $1,300/bottle, you certainly did. I find significant and robust evidence of a speculative asset bubble in Lafite relative to other high-end Bordeaux wines. I test for a bubble independent of a structural valuation model, an ultra-conservative statistical threshold, and weak, nonparametric statistical assumptions. I identify consecutive bubbly periods, which implies the probability of false detection is less than 0.1 percent. This is the first evidence of a bubble independent of a structural valuation model.

*This is information about one of the 17 people from ARE with a presentation at the 2018 AAEA Annual Meeting Aug. 5–7 in Washington, D.C.

 

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