Relationship between CAPM-<i>β</i>and market changes in the Japanese liner shipping industry

Tezuka, Koichiro; Ito, Masahiro; Ishizaka, Motokazu

doi:10.1080/03088839.2011.625987

Cited by 7 publications

(2 citation statements)

References 29 publications

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“…On a more stock price-oriented stream of literature, shipping stocks have been found to exhibit some unique characteristics when compared to stocks from other economic sectors, primarily due to the globalized nature of the sector's operations. More precisely, previous researchers have found that market betas are of little importance for shipping stocks (Tezuka et al 2012), leading to the conclusion that country-specific systematic risk is not particularly important for investors in shipping companies. The low importance of country-specific factors in the stock performance of shipping companies is even more evident when foreign exchange rates are considered.…”

Section: Literature Reviewmentioning

confidence: 98%

A cointegrating stock trading strategy: application to listed tanker shipping companies

Michail

Melas

2019

J. shipp. trd.

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In the current paper, we propose a strategy to trade a portfolio of listed shipping companies in the US market. In particular, we estimate a co-integrating relationship between the weekly stock market returns of a portfolio of tanker shipping companies and the Baltic Tanker Index, exploiting the close relationship between freight rates and the stock market performance of shipping companies. Our results suggest that a trading strategy on the basis of a co-integrating relationship and a simple moving average rule outperforms, by approximately 50%, a standard buy-and-hold strategy in various investment horizons, often by a very wide margin. Given the latter, the results allow us to enhance the current literature on shipping finance by providing evidence of how simple investment strategies can benefit both retail and institutional investors who do not have direct exposure or experience in the shipping industry by allowing them to include shipping stocks in their portfolios.

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Section: Literature Reviewmentioning

confidence: 98%

A cointegrating stock trading strategy: application to listed tanker shipping companies

Michail

Melas

2019

J. shipp. trd.

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“…Other research investigates the time varying properties of shipping stock betas. For example, Tezuka et al (2012) report that betas of listed Japanese liner shipping companies during the period 1980-2006 are positively associated with the degree of shipping market competitiondue to the associated regulatory changesand negatively related to the level of shipping market concentration. Further, Drobetz et al (2016b) find that stock betas of shipping companies around the world during the period 1990-2013 fluctuate with shipping market conditions.…”

Section: Cost Of Capital and Sources Of Risk In Shipping Investmentsmentioning

confidence: 99%

A survey of shipping finance research: Setting the future research agenda

Alexandridis

Kavussanos

Kim

et al. 2018

Transportation Research Part E: Logistics and Transportation Re

110

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Financing shipping related investment projects has always been a focal area of debate and research within the international maritime industry since access to funding can determine the competitiveness of a capitalintensive business as well as its success or failure under adverse market conditions. This paper provides, for the first time, a comprehensive and structured survey of all published research in the area of shipping finance and investment. The review spans approximately four decades (1979-2018) of empirical evidence, including 162 studies published in 48 scholarly journals, complemented with select books and book chapters. The study provides a bibliometric analysis and comprehensive synthesis of existing research offering an invaluable source of information for both the academic community and business practice, shaping the future research agenda in shipping finance and investment. JEL Code: G10, G20, G30.

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External Constraint on Scheduled Container Liner Shipping Operations: A View from Economic Regulation in European Union

Nair¹

2012

The Asian Journal of Shipping and Logistics

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Relationship between CAPM-βand market changes in the Japanese liner shipping industry

Cited by 7 publications

References 29 publications

A cointegrating stock trading strategy: application to listed tanker shipping companies

A cointegrating stock trading strategy: application to listed tanker shipping companies

A survey of shipping finance research: Setting the future research agenda

External Constraint on Scheduled Container Liner Shipping Operations: A View from Economic Regulation in European Union

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