Risk and Return of US Water Transportation Stocks Over Time and Over Bull and Bear Market Conditions

Maritime Policy and Management, 1997, Vol. 24, No. 2,145-158

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: 1997

Abstract

The aim of this paper is to investigate the behaviour of water transportation company stock returns in the U.S. stock exchanges from 1985 to 1994 in order to determine whether the systematic risk of this industry is different from that of the 'average' company in the market, whether it has changed over the ten year period, over bull and bear market conditions, and whether there is a firm 'size' effect in the industry. In the context of the Capital Asset Pricing Model (CAPM), we find that the systematic risk of the shipping industry return is not different from that of the 'average' company. It is also found that the covariance of water transportation companies with respect to the overall stock market return did not change over the ten year period although it appears that it has changed over normal upward/downward market movements. There is also reasonable evidence that the intercept of the equation might have changed over normal upward/downward market movements. Finally, we document contradictory evidence regarding the size effect; during the period 1985-1989 we find small companies to have significantly higher returns and risk while during the period 1990-1994 medium size companies tend to have higher risk than small and large firms, which is not however compensated by higher returns.

Suggested Citation

Markoulis, Stelios and Kavussanos, Manolis G., Risk and Return of US Water Transportation Stocks Over Time and Over Bull and Bear Market Conditions (1997). Maritime Policy and Management, 1997, Vol. 24, No. 2,145-158. Available at SSRN: https://ssrn.com/abstract=1435254

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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