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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/39586

Title: Exploring Risk-return Relations in Dry Bulk Shipping
Authors: Chih-Chen Kuo;Heng-Chih Chou;Chih-Ching Chang
Contributors: 國立臺灣海洋大學:航運管理學系
Date: 2016-07-07
Issue Date: 2016-12-23T06:49:14Z
Publisher: International Journal of Shipping and Transport Logistics
Abstract: Abstract:This study investigates the risk-return relations in dry-bulk shipping freight, and to analyse how it was influenced by the 2008 financial tsunami. Empirical results show that the shipping freight's risk-return relation, measured by risk premium parameter β, varies by different types of ship. The risk-return relations of capesize freight have changed after the financial tsunami, from high-risk/high-return into high-risk/low-return. In other words, compared to the case of Standard & Poor's 500 (S&P 500), there have been significant declines in the freight risk premiums. Furthermore, the risk premium parameter β is not only affected by the financial tsunami, but also significantly affected by the previous parameter β and previous freight return. The results of this study can make shipping operators aware of the dynamics of risk-return relations among various ships, so as to secure the optimal asset allocation of ship investments.
Relation: 8(4), pp.488-506
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/39586
Appears in Collections:[航運管理學系] 期刊論文

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