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Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!Amir H. AlizadehCity University London - Sir John Cass Business School Yaz Gulnur MuradogluQueen Mary University of London; City University London - Sir John Cass Business School July 4, 2011 Abstract: Changes in shipping freight rates predict stock market returns. In today’s global world, where economies are linked through international trade, shipping freight rates carry information about economic activity which is reflected in stock returns. Our results are statistically and economically significant and cannot be explained by time-varying risk premia as shipping freight rate changes significantly predict negative excess returns. Consistent with the delayed reaction hypothesis, it seems that investors are slow in responding to the information on changes in shipping freight rates. Moreover, results are robust across world and international stock indexes.
Number of Pages in PDF File: 42 Keywords: Stock returns, freight rates, shipping, market efficiency JEL Classification: G11, G14, G17, E44 working papers seriesDate posted: August 6, 2011 ; Last revised: September 21, 2011Suggested CitationContact Information
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