The Stock Market Perception of Industry Risk and Microeconomic Factors: The Case of the US Water Transportation Industry versus Other Transport Industries

Transportation Research, Part E (the Logistics and Transportation Review), July 1997, Vol. 33, No. 2, 147-158

Posted: 18 Feb 2014

See all articles by Stelios Markoulis

Stelios Markoulis

University of Cyprus - Department of Public and Business Administration; Frederick University; Cyprus International Institute of Management (CIIM)

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: July 1, 1997

Abstract

This paper undertakes a comparative analysis of the stock market perception of risk of U.S.-listed water transportation and other transport sectors such as air transportation, rail transportation, trucks, and other related industries such as electricity, gas, petroleum refining and real estate over the period July 1984 June 1995. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of micro-economic factors: market value of equity; book to market value of equity ratio; earnings to price ratio; asset to market value of equity; and asset to book value of equity. The Seemingly Unrelated Regression methodology (SUR) is employed to estimate the above relationships due to its advantages over ordinary least squares. Our findings reveal that the water transportation industry is the only transportation industry which exhibits lower systematic risk than the market and that the asset-tobook ratio, along with the market, has explanatory power over its cross-sectional returns. Also, the micro factors which are significant in explaining stock returns vary between industries.

Suggested Citation

Markoulis, Stelios and Kavussanos, Manolis G., The Stock Market Perception of Industry Risk and Microeconomic Factors: The Case of the US Water Transportation Industry versus Other Transport Industries (July 1, 1997). Transportation Research, Part E (the Logistics and Transportation Review), July 1997, Vol. 33, No. 2, 147-158. Available at SSRN: https://ssrn.com/abstract=1435241

Stelios Markoulis

University of Cyprus - Department of Public and Business Administration ( email )

75 Kallipoleos Street
P.O. Box 20537
Nicosia CY-1678
CYPRUS

Frederick University ( email )

7, Y. Frederickou Str.
Pallouriotisa
Nicosia, 1036
Cyprus

Cyprus International Institute of Management (CIIM) ( email )

P.O Box 20378
Aglandjia
Nicosia, CY-2151
Cyprus

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

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