Advanced Search
MyIDEAS: Login to save this article or follow this journal

The stock market perception of industry risk and microeconomic factors: The case of the US water transportation industry versus other transport industries

Contents:

Author Info

  • Kavussanos, Manolis G.
  • Marcoulis, Stelios N.

Abstract

This paper undertakes a comparative analysis of the stock market perception of risk of U.S.-listed water transportation and other transport sectors such as air transportation, rail transportation, trucks, and other related industries such as electricity, gas, petroleum refining and real estate over the period July 1984-June 1995. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of micro-economic factors: market value of equity; book to market value of equity ratio; earnings to price ratio; asset to market value of equity; and asset to book value of equity. The Seemingly Unrelated Regression methodology (SUR) is employed to estimate the above relationships due to its advantages over ordinary least squares. Our findings reveal that the water transportation industry is the only transportation industry which exhibits lower systematic risk than the market and that the asset-to-book ratio, along with the market, has explanatory power over its cross-sectional returns. Also, the micro factors which are significant in explaining stock returns vary between industries.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S136655459700015X
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Transportation Research Part E: Logistics and Transportation Review.

Volume (Year): 33 (1997)
Issue (Month): 2 (June)
Pages: 147-158

as in new window
Handle: RePEc:eee:transe:v:33:y:1997:i:2:p:147-158

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/600244/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/journaldescription.cws_home/600244/bibliographic
Web: http://www.elsevier.com/wps/find/journaldescription.cws_home/600244/bibliographic

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Hultkrantz, Lars & Krüger, Niclas & Mantalos , Panagiotis, 2012. "Risk-adjusted long term social rates of discount for transportation infrastructure investment," Working Papers 2012:14, Örebro University, School of Business.
  2. M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
  3. Panayides, Photis M. & Lambertides, Neophytos & Cullinane, Kevin, 2013. "Liquidity risk premium and asset pricing in US water transportation," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 3-15.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:transe:v:33:y:1997:i:2:p:147-158. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.