Roar Adland
A time-varying risk premium in the term structure of bulk shipping freight rates.
Adland, Roar; Cullinane, Kevin
Authors
Kevin Cullinane
Abstract
This paper presents a simple argument, based on logic and maritime economic theory alone, for rejecting the applicability of the expectations theory in bulk shipping freight markets. It is shown that the risk premium must be time varying and must, in a systematic fashion, depend upon freight market conditions and the duration of a period time charter. The signs of the risk premium attributable to the various risk factors are derived where possible and the conclusion is drawn that the theoretical net risk premium will usually be negative, but may change for a short-term period charter in a strong freight market.
Citation
Adland, R., & Cullinane, K. (2005). A time-varying risk premium in the term structure of bulk shipping freight rates. Journal of Transport, Economics and Policy, 39, 191-208
Journal Article Type | Article |
---|---|
Publication Date | May 1, 2005 |
Deposit Date | May 28, 2008 |
Print ISSN | 0022-5258 |
Publisher | University of Bath, School of Management |
Peer Reviewed | Peer Reviewed |
Volume | 39 |
Pages | 191-208 |
Keywords | maritime economic theory; bulk shipping freight markets; |
Public URL | http://researchrepository.napier.ac.uk/id/eprint/1877 |
Publisher URL | http://www.jstor.org/stable/20053960 |
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