Exploring risk-return relations in dry bulk shipping

摘要

This study investigates the risk-return relations in dry-bulk shipping freight, and to analyse how it was influenced by the 2008 financial tsunami. Empirical results show that the shipping freight's risk-return relation, measured by risk premium parameter beta, varies by different types of ship. The risk-return relations of capesize freight have changed after the financial tsunami, from high-risk/high-return into high-risk/low-return. In other words, compared to the case of Standard & Poor's 500 (S&P 500), there have been significant declines in the freight risk premiums. Furthermore, the risk premium parameter beta is not only affected by the financial tsunami, but also significantly affected by the previous parameter beta and previous freight return. The results of this study can make shipping operators aware of the dynamics of risk-return relations among various ships, so as to secure the optimal asset allocation of ship investments.