The aim of this paper is to investigate the relative risks involved in owning and operating tanker vessels of different sizes in world spot and time-charter (TC) markets. Cointegrating Error Correction ARCH models are used to model spot and TC rates for each ship size and the associated time...

This book undertakes industry analysis of the risk-return behaviour of stock returns in the US. It focuses on transportation and a number of non-transportation companies, with particular attention paid to water transportation. The market risk (measured by beta) is identified as the relevant...

This paper investigates the dynamics of stock price volatility for different vessel-type segments of the U.S, water transportation industry. We measure market exposure by a portfolio of tanker, dry bulk, container, and gas stocks to examine tail behavior and tail risk dependence. The role of...

This paper compares the behaviour of shipping and shipping-related company stock returns to reveal whether systematic risk differs from the average in the market and across sub-sectors of the maritime industry. Following an extensive collection of information through a postal questionnaire...

This paper attempts to uncover and compare the macroeconomic determinants of the stock returns of US listed water transportation companies to those of other transport sectors over the period July 1985-June 1995; these involve air transportation, rail transportation and trucks. Other, non-transport...