是什么推动了航运市场?:价格包租比率的方差分解

IF 3.7 3区 工程技术 Q2 TRANSPORTATION
Hyun-Tak Lee, Heesung Yun
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引用次数: 0

摘要

本文利用这两个因素的协整性,研究了船舶价格与营业利润之间的动态关系。为了进行实证分析,我们选择了巴拿马型760K 5年二手车价格和1年定期租船费率,然后将它们的线性组合定义为对数价格-租船比率。我们发现,几乎所有价格-租船比率的变化都与对未来回报的预期变化相对应。这一发现意味着,随着价格趋向于运营利润,租船价格比的平均回归主要来自船舶价格。这意味着价格-租船比率可以用来安排船舶投资的时间。当意外的下行风险发生时,为了最大限度地减少额外损失,一种先发制人的行动是在船舶价格根据货运市场的变化暴跌之前立即降低船舶风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
What moves shipping markets?: A variance decomposition of price–charter ratios
ABSTRACT This paper studies the dynamic relationship between ship prices and operating profits by using the fact that these two factors are cointegrated. To conduct an empirical analysis, we select Panamax 76K 5-year second-hand prices and 1-year time charter rates, and then define their linear combination as a log price–charter ratio. We find that almost all variations in price–charter ratios correspond to changing expectations about future returns. This finding implies that the mean reversion in price–charter ratios arises mainly from ship prices as prices tend to move toward operating profits. The implication is that price–charter ratios can be used to schedule ship investment timing. When unexpected down-side risks occur, one preemptive action to minimize additional losses is to lower vessel exposure right away before ship prices plummet in accordance with movements in the freight market.
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来源期刊
CiteScore
8.20
自引率
8.60%
发文量
66
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.
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