TY - JOUR
T1 - A cross-section analysis of stock returns
T2 - The case of shipping firms
AU - Grammenos, C. T.H.
AU - Marcoulis, S. N.
PY - 1996
Y1 - 1996
N2 - This paper undertakes an analysis of the determinants of the cross-section of expected stock returns of 19 shipping companies listed in the US, Norway, Stockholm and London. Various factors, including company stock market beta, divided yield, and financial leverage have been identified in the finance literature as determinants of share price performance. We capitalize on these findings and add one more industry specific factor, the average age of the company's fleet, to quantitatively analyse the determinants of the performance of shipping shock returns. We use the Fama–MacBeth methodology to empirically test whether the five factors above have a significant effect on shipping stocks' performance. Our results indicate that the industry specific factor (the average age of the fleet) plus financial leverage, are significant in explaining shipping stocks' returns, wheras the stock market beta and the dividend yield are far less significant.
AB - This paper undertakes an analysis of the determinants of the cross-section of expected stock returns of 19 shipping companies listed in the US, Norway, Stockholm and London. Various factors, including company stock market beta, divided yield, and financial leverage have been identified in the finance literature as determinants of share price performance. We capitalize on these findings and add one more industry specific factor, the average age of the company's fleet, to quantitatively analyse the determinants of the performance of shipping shock returns. We use the Fama–MacBeth methodology to empirically test whether the five factors above have a significant effect on shipping stocks' performance. Our results indicate that the industry specific factor (the average age of the fleet) plus financial leverage, are significant in explaining shipping stocks' returns, wheras the stock market beta and the dividend yield are far less significant.
UR - http://www.scopus.com/inward/record.url?scp=0006267831&partnerID=8YFLogxK
U2 - 10.1080/03088839600000053
DO - 10.1080/03088839600000053
M3 - Article
AN - SCOPUS:0006267831
SN - 0308-8839
VL - 23
SP - 67
EP - 80
JO - Maritime Policy and Management
JF - Maritime Policy and Management
IS - 1
ER -