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Earnings yield and predictability in the dry bulk shipping industry

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  • Moutzouris, Ioannis C.
  • Nomikos, Nikos K.

Abstract

We examine the relation between vessel prices, net earnings and holding period returns, in the dry bulk shipping industry. In doing so, we provide a framework for pricing shipping assets, with finite economic lives and also subject to wear and tear. Shipping earnings yields negatively forecast future net earnings growth while there is no consistent evidence of time-varying risk premia. We provide an economic interpretation for the obtained results and argue that the investment decisions of shipowners affect the current price of the asset through the expected cash flow stream, thus implying cash flow predictability.

Suggested Citation

  • Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019. "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 140-159.
    • Handle: RePEc:eee:transe:v:125:y:2019:i:c:p:140-159
    DOI: 10.1016/j.tre.2019.03.009
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    Cited by:

    1. Adland, Roar & Prochazka, Vit, 2021. "The value of timecharter optionality in the drybulk market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
    2. Mariarosaria Lombardi & Giuseppe Maffia & Caterina Tricase, 2019. "Sustainable Bulk-Packaging System for Sugar Shipping: Case Study of the Enterprise Leader in Europe," Administrative Sciences, MDPI, vol. 9(4), pages 1-16, November.
    3. Moutzouris, Ioannis C. & Nomikos, Nikos K., 2020. "Asset pricing with mean reversion: The case of ships," Journal of Banking & Finance, Elsevier, vol. 111(C).

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    More about this item

    Keywords

    Valuation of transportation assets; Shipping cash flow predictability; Shipping risk premia; Variance decomposition of earnings yield;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R40 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - General

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