Data from wine auctions indicates that identical products sold sequentially typically follow a decreasing pattern of prices, known as the afternoon effect. This is explained, for both first and second price auctions, by appealing to risk averse bidders. Earlier bids are then equal to expected later prices plus a risk premium associated with the risky future price. This logic rests on the assumption of nondecreasing absolute risk aversion, which is necessary for pure strategy equilibrium bidding functions to exist. This, decreasing absolute risk aversion implies ex post inefficiecny with positive probability. Data from wine auctions is used to confirm the existence of the afternoon effect.