Quantifying time-varying term-risk premia in shipping markets

Article English OPEN
Wright, Graham;

Recent empirical work, as part of its attempt to establish the expectations hypothesis and\ud explain the term structure of shipping freight rates, has identified the presence of timevarying\ud term-risk premia in shipping markets. Consequently, to proceed further in an... View more
  • References (9)

    Adland, R. and K. Cullinane (2005): 'A Time-Varying Risk Premium in the Term Structure of Bulk Shipping Freight Rates', Journal of Transport Economics and Policy, 39, 191-208.

    Grammenos, C. Th. and A. G. Arkoulis (2003): 'Determinants of Spreads on New High Yield Bonds of Shipping Companies', Transportation Research Part E: Logistics and Transportation Review, 39, 459-71.

    Hale, C. and A. Vanags (1989): 'Spot and Period Rates in the Dry Bulk Market: Some Tests for the Period 1980-1986', Journal of Transport Economics and Policy, 23, 281-91.

    Kavussanos, M. G. and A. H. Alizadeh-M (2002): 'The Expectations Hypothesis of the Term Structure and Risk Premiums in Dry Bulk Shipping Freight Markets', Journal of Transport Economics and Policy, 36, 267-304.

    Modigliani, F. and M. Miller (1958): 'The Cost of Capital, Corporation Finance and the Theory of Investment', American Economic Review, 48, 261-97.

    Modigliani, F. and R. Sutch (1966): 'Innovations in Interest Rate Policy', American Economic Review, 56, 178-97.

    Samuels, J. M., F. M. Wilkes, and R. E. Brayshaw (1992): Management of Company Finance, London: Chapman and Hall.

    Veenstra, A. W. (1999): 'The Term Structure of Ocean Freight Rates', Maritime Policy and Management, 26, 279-93.

    Wright, G. (2007): 'Term-risk premia in Shipping Markets: Reconciling the Evidence', Journal of Transport Economics and Policy, 41, 247-56.

  • Metrics
Share - Bookmark