A cross-section analysis of stock returns: The case of shipping firms

C. T.H. Grammenos, S. N. Marcoulis

    Research output: Contribution to journalArticlepeer-review

    20 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)67-80
    Number of pages14
    JournalMaritime Policy and Management
    Volume23
    Issue number1
    DOIs
    Publication statusPublished - 1996

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