Shipping stocks as lotteries

IF 3.7 3区工程技术 Q2 TRANSPORTATION

Maritime Policy & Management Pub Date : 2022-01-19 DOI:10.1080/03088839.2021.2021594

Michalis Makrominas, Stelios N. Marcoulis

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引用次数: 0

Abstract

ABSTRACT While shipping stocks are risky investments, their realized returns are found to be consistently lower than expectations derived from a mean-variance framework. The objective of the paper is to examine whether additional characteristics of the return distribution, in particular, extreme positive (maximum) return, are significant in the pricing of shipping stocks. Using U.S. data of publicly listed firms, we find that shipping stocks with a higher daily maximum return in the previous month exhibit significantly lower subsequent returns, suggesting that investors are willing to pay a higher price and accept a lower expected return for such stocks. Our results are robust at portfolio and firm levels after controlling for a barrage of risk factors. Consistent with prospect theory, we corroborate evidence of preference among shipping investors towards lottery-like payoffs. The implications of our work are relevant to investment managers who consider including shipping stocks in their portfolios, to investment bankers providing valuations for the pricing of shipping initial and secondary public offerings, or for mergers and acquisitions, and to shipping firms seeking to estimate their cost of capital in the context of investment appraisal.

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航运股票就像彩票一样

虽然航运股是风险投资，但其实现回报始终低于从均值-方差框架得出的预期。本文的目的是检验收益分布的附加特征，特别是极端正(最大)收益，在航运股的定价中是否重要。利用美国上市公司的数据，我们发现航运类股票在前一个月的日最大收益较高，其后续收益明显较低，这表明投资者愿意为这类股票支付更高的价格，并接受较低的预期收益。在控制了一系列风险因素之后，我们的结果在投资组合和公司层面上是稳健的。与前景理论一致，我们证实了航运投资者对彩票般的收益偏好的证据。我们工作的意义与考虑将航运股票纳入其投资组合的投资经理，为航运首次和二次公开发行定价或合并和收购提供估值的投资银行家，以及寻求在投资评估背景下估计其资本成本的航运公司有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Maritime Policy & Management TRANSPORTATION-

CiteScore

8.20

自引率

8.60%

发文量

期刊介绍： Thirty years ago maritime management decisions were taken on the basis of experience and hunch. Today, the experience is augmented by expert analysis and informed by research findings. Maritime Policy & Management provides the latest findings and analyses, and the opportunity for exchanging views through its Comment Section. A multi-disciplinary and international refereed journal, it brings together papers on the different topics that concern the maritime industry. Emphasis is placed on business, organizational, economic, sociolegal and management topics at port, community, shipping company and shipboard levels. The Journal also provides details of conferences and book reviews.