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Economic and Financial Risk Factors and Tanker Shipping Stock Returns


Sjur Westgaard


Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

Stein Frydenberg


Sor Trondelag University College - Trondheim Business School

Knut W. Mitter


Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

Erik Folkeson Jensen


Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
January 1, 2007


Abstract:     
In this paper we identify a range of economical and financial risk factors and analyse their empirical impacts on tanker shipping stock returns, using an OLS-regression. Earlier shipping-related studies have concentrated on shipping stock returns in general and the differences between shipping segments with regards to market βs. However, shipping segments are highly specialised, leading to great differences in the sources of risk. Further segment-specific studies are therefore valuable. This paper concentrates on the sources of risk in the tanker segment. All factors are identified with regards to a demand and supply model of tanker shipping. The factors are argued to be the changes in the following: The world return, industrial production, USD exchange rate, the oil price, US crude oil inventories, US crude runs and the size of the tanker fleet. Of these, the world return and the USD exchange rate were found to be positively correlated with the returns of a value-weighted tanker stock portfolio. Crude oil inventories and crude runs are negatively correlated, while changes in world production, oil price and tanker fleet size are insignificant in explaining tanker stock returns.

Number of Pages in PDF File: 28

Keywords: Tanker shipping, stock returns, fleet size, freight rates

JEL Classification: C01, C22, E44, F20, G00

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Date posted: March 13, 2007 ; Last revised: September 14, 2008

Suggested Citation

Westgaard, Sjur, Frydenberg, Stein, Mitter, Knut W. and Jensen, Erik Folkeson, Economic and Financial Risk Factors and Tanker Shipping Stock Returns (January 1, 2007). Available at SSRN: http://ssrn.com/abstract=969910 or http://dx.doi.org/10.2139/ssrn.969910

Contact Information

Sjur Westgaard (Contact Author)
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology ( email )
NO-7491 Trondheim
Norway
Stein Frydenberg
Sor Trondelag University College - Trondheim Business School ( email )
Jonsvannsvegen 82
N-7004 Trondheim
Norway
47-73559987 (Phone)
47-73559951 (Fax)
Knut W. Mitter
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology ( email )
NO-7491 Trondheim
Norway
Erik Folkeson Jensen
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology ( email )
NO-7491 Trondheim
Norway
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