TY - JOUR
T1 - Risk and return of U.S. water transportation stocks over time and over bull and bear market conditions
AU - Kavussanos, Manolis G.
AU - Marcoulis, Stelios N.
PY - 1997
Y1 - 1997
N2 - The aim of this paper is to investigate the behaviour of water transportation company stock returns in the U.S. stock exchanges from 1985 to 1994 in order to determine whether the systematic risk of this industry is different from that of the ‘average’ company in the market, whether it has changed over the ten year period, over bull and bear market conditions, and whether there is a firm ‘size’ effect in the industry. In the context of the Capital Asset Pricing Model (Capm), we find that the systematic risk of the shipping industry return is not different from that of the ‘average’ company. It is also found that the covariance of water transportation companies with respect to the overall stock market return did not change over the ten year period although it appears that it has changed over normal upward/downward market movements. There is also reasonable evidence that the intercept of the equation might have changed over normal upward/downward market movements. Finally, we document contradictory evidence regarding the size effect; during the period 1985–1989 we find small companies to have significantly higher returns and risk while during the period 1990–1994 medium size companies tend to have higher risk than small and large firms, which is not however compensated by higher returns.
AB - The aim of this paper is to investigate the behaviour of water transportation company stock returns in the U.S. stock exchanges from 1985 to 1994 in order to determine whether the systematic risk of this industry is different from that of the ‘average’ company in the market, whether it has changed over the ten year period, over bull and bear market conditions, and whether there is a firm ‘size’ effect in the industry. In the context of the Capital Asset Pricing Model (Capm), we find that the systematic risk of the shipping industry return is not different from that of the ‘average’ company. It is also found that the covariance of water transportation companies with respect to the overall stock market return did not change over the ten year period although it appears that it has changed over normal upward/downward market movements. There is also reasonable evidence that the intercept of the equation might have changed over normal upward/downward market movements. Finally, we document contradictory evidence regarding the size effect; during the period 1985–1989 we find small companies to have significantly higher returns and risk while during the period 1990–1994 medium size companies tend to have higher risk than small and large firms, which is not however compensated by higher returns.
UR - http://www.scopus.com/inward/record.url?scp=85015558566&partnerID=8YFLogxK
U2 - 10.1080/03088839700000066
DO - 10.1080/03088839700000066
M3 - Article
AN - SCOPUS:85015558566
SN - 0308-8839
VL - 24
SP - 145
EP - 158
JO - Maritime Policy and Management
JF - Maritime Policy and Management
IS - 2
ER -