Article

Excess returns in the spot market for bulk carriers

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The present study investigates the excess return dynamics between time charter (t/c) trip charters and their underlying voyage charters in the dry bulk market. Using a weekly data set over the period January 2003 to January 2014, we first examine the existence of a long-term co-integrating relationship between trip charters and their respective voyages expressed in Time Charter Equivalents. Then we develop a new methodology based on technical analysis in order to identify excess return signals and form a trading strategy. The results show that our approach outperforms the benchmark strategy of always chartering in vessels on t/c trip charters and perform the underlying voyage charters. Our analysis can be used by ship operating companies as a guide to select voyages with the highest probability of excess returns and adapt their chartering strategies accordingly.

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Ketersediaan

Informasi Detail

Judul Seri

Maritime Economics & Logistics

No. Panggil

ATC PO TSI e

Penerbit

United Kingdom : Palgrave Macmillan., 2014

Deskripsi Fisik

17 pages

Bahasa

English

ISBN/ISSN

-

Klasifikasi

PO

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

online resource

Edisi

17

Subjek

Shipping
freight market
time charter
voyage
technical analysis
co-integration

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Tsioumas, Vangelis

Versi lain/terkait

Lampiran Berkas

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