42 Pages Posted: 6 Aug 2011 Last revised: 21 Sep 2011
Date Written: July 4, 2011
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.
Keywords: Stock returns, freight rates, shipping, market efficiency
JEL Classification: G11, G14, G17, E44
Suggested Citation: 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: https://ssrn.com/abstract=1905590 or http://dx.doi.org/10.2139/ssrn.1905590
By Meb Faber