International Comparison of Market Risks Across Shipping Related Industries

Maritime Policy and Management, 2003, Vol. 30, No 2, 107-122

Posted: 18 Feb 2014

See all articles by Matthew Forrest

Matthew Forrest

Independent

Manolis G. Kavussanos

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

Date Written: 2003

Abstract

This paper compares the behaviour of shipping and shipping-related company stock returns to reveal whether systematic risk differs from the average in the market and across sub-sectors of the maritime industry. Following an extensive collection of information through a postal questionnaire survey, 108 publicly listed shipping and shipping-related companies, across stock exchanges of the world, are classified by sector according to their core business activity. The Capital Asset Pricing Model (CAPM) is employed for the period 1996-1999 to model stock returns and measure sector βs (systematic risk). Stock returns over the period are mostlynegative. The systematic risks of the Drilling and Offshore sectors are significantlyhigher than those of all other sectors, but are not different from each other. There is no significant difference between the systematic risks of the Bulk, Tanker, Container and Ferrysectors. The systematic risk of the Cruise sector lies somewhere between these two groups. There is no difference in the systematic risk of companies that diversified within shipping or shipping-related industries when compared to companies that diversified in other areas. Over all companies in the sample, _ is lower than the market average, and so are the βs of the Ferry, Tanker, Bulk, Container and Yard sectors. Only the β of the Drilling sector is statisticallyhigher than one, while the Cruise, Diversified and Offshore sectors are statistically one.

Suggested Citation

Forrest, Matthew and Kavussanos, Manolis G., International Comparison of Market Risks Across Shipping Related Industries (2003). Maritime Policy and Management, 2003, Vol. 30, No 2, 107-122. Available at SSRN: https://ssrn.com/abstract=1435312

Matthew Forrest

Independent ( email )

No Address Available

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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