This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are...

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...

Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that...

This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm....

The aim of this paper is to use an alternative measure of the efficiency of the different shipping industries, i.e. VLCC/ULCC (250 000 dwt), Suezmax (140 000 dwt), Aframax (80 000 dwt), which are the main carriers of crude oil, and Handymax (40 000 dwt), which carries the vast majority of clean...