The asset-pricing implications of selection neglect: Evidence from global fine wine auctions
Abstract
We examine the asset-pricing implications of selection neglect-a failure to correct for censored information-in the fine wine market. Using a Markov Chain Monte Carlo model to account for the endogeneity of trading, we measure this bias as the difference between past observed and corrected returns. We find a strong negative relationship between our measure and future returns, which offers strong support for the sidelined investor hypothesis. This effect is mitigated by investor attention, amplified by ambiguity, and proves to be a shorter-term mispricing phenomenon, vulnerable to transaction and carrying costs.
Fields of Study & Subjects
Wine Industry and Tourism
Horticultural and Viticultural Research
Merger and Competition Analysis
Publication details
- Journal / source
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Volume
- 191
- Pages
- 107792–107792
- Publication date
- 21 July 2026
- Language
- EN