10th World Conference on Transportation Research, Istanbul, Turkey, 2004
10 Pages Posted: 31 May 2012
Date Written: March 23, 2012
This study focuses on the valuation of maritime companies. By using Erdogan’s (1996) modified capital asset pricing approach for maritime firms, Bollerslev’s (1986) General Auto Regressive Conditional Heteroskedasticity Model (GARCH) is adapted along with including the freight market effect in the asset pricing.
Keywords: asset pricing, stock markets, maritime firms, GARCH
JEL Classification: G12, G14, C58, L91
Suggested Citation: Suggested Citation
Erdogan, Oral, A Conditional Capital Asset Pricing Model for Maritime Firms: Empirical Evidence from the Us Stock Market (March 23, 2012). 10th World Conference on Transportation Research, Istanbul, Turkey, 2004. Available at SSRN: https://ssrn.com/abstract=2028134