A time-varying risk premium in the term structure of bulk shipping freight rates.

Adland, Roar; Cullinane, Kevin

Authors

Roar Adland

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