Abstract

http://ssrn.com/abstract=1905590
 
 

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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


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

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Date posted: August 6, 2011 ; Last revised: September 21, 2011

Suggested Citation

Alizadeh, Amir H. and Muradoglu, Yaz Gulnur, Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle! (July 4, 2011). Available at SSRN: http://ssrn.com/abstract=1905590 or http://dx.doi.org/10.2139/ssrn.1905590

Contact Information

Amir H. Alizadeh (Contact Author)
City University London - Sir John Cass Business School ( email )
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
Yaz Gulnur Muradoglu
Queen Mary University of London ( email )
Dilke House
1 Malet Street
London, WC1E 7JN
United Kingdom
City University London - Sir John Cass Business School ( email )
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)
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