Advanced Search
MyIDEAS: Login

Diversification Properties of Investments in Shipping

Contents:

Author Info

Registered author(s):

    Abstract

    In contrast to the more established alternative asset classes like real estate or hedge funds, there is not much research available for investments in shipping. This article contributes to closing this gap in the literature and investigates the diversification properties of investments in shipping. During our sample period from January 1999 to December 2007, an investment in shipping stocks earned an attractive risk-return combination. From an overall perspective, we find almost no indications within our analytical framework that the addition of an investment in shipping stocks to a base portfolio of stocks and bonds worsened diversification. In most cases, the Sharpe ratios increased considerably but were, with some noticeable exceptions, statistically insignificant. Some details should be noticed: Firstly, the composition of the shipping stocks portfolio mattered much. Compared with the MSCI World Marine Index, which is a capitalization-weighted aggregate of 10 stocks, the diversification benefit of the broader and equally-weighted shipping stocks portfolio of our Research Index with 41 stocks was much more pronounced and partially even statistically significant which is a rare event for the test developed by Gibbons et al. [1989]. Secondly, diversification properties were not stable through the course of time with larger diversification benefits during the bear market from March 2000 to March 2003 compared to the bull market from April 2003 to October 2007. However, the latter are statistically more reliable. Our positive overall view of the diversification properties of shipping stocks is based on a single full stock market cycle. The generalizability of our results is an open question and requires further research.

    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: ftp://212.204.40.50/econ/RePEc/pdf/phu_dp_011.pdf
    Our checks indicate that this address may not be valid because: 500 Failed to connect to FTP server 212.204.40.50: Net::FTP: connect: 10060. If this is indeed the case, please notify (Frank Waldau)
    Download Restriction: no

    Bibliographic Info

    Paper provided by Hanseatic University, Germany, Department of Economics in its series Working Papers with number 011.

    as in new window
    Length: 35 pages
    Date of creation: May 2008
    Date of revision:
    Handle: RePEc:phu:wpaper:011

    Contact details of provider:
    Web page: http://www.hanseuni.com

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

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

    Citations

    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:phu:wpaper:011. 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: (Frank Waldau) The email address of this maintainer does not seem to be valid anymore. Please ask Frank Waldau to update the entry or send us the correct address.

    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.