Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!
Amir H. Alizadeh
City University London - Sir John Cass Business School
Yaz Gulnur Muradoglu
Queen Mary University of London; City University London - Sir John Cass Business School
July 4, 2011
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, E44working papers series
Date posted: August 6, 2011 ; Last revised: September 21, 2011
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