A Conditional Capital Asset Pricing Model for Maritime Firms: Empirical Evidence from the Us Stock Market

10th World Conference on Transportation Research, Istanbul, Turkey, 2004

10 Pages Posted: 31 May 2012  

Oral Erdogan

Piri Reis University

Date Written: March 23, 2012

Abstract

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

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

Oral Erdogan (Contact Author)

Piri Reis University ( email )

Postane Mahallesi
Tuzla
Istanbul, 34940
Turkey

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