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Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market

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  • Giamouzi, Maria
  • Nomikos, Nikos K

Abstract

This study examines the risk-return trade-off in the dry bulk freight market under different scenarios such as risk measures, risk attitudes and controlling for variables associated with the freight rate cycle. For long-term contracts, there exists a negative association between risk and return, suggesting that shipowners are willing to offer a discount on time-charter rates over spot rates to compensate for the loss of flexibility. Additionally, shipowners are not uniformly risk averse, as finance theory suggests, since their utility functions are concave (risk-averse) for losses and convex (risk-seeking) for gains.

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  • Giamouzi, Maria & Nomikos, Nikos K, 2021. "Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
    • Handle: RePEc:eee:transe:v:145:y:2021:i:c:s1366554520307778
    DOI: 10.1016/j.tre.2020.102129
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    Cited by:

    1. Lourdes Gómez‐Valle & Ioannis Kyriakou & Julia Martínez‐Rodríguez & Nikos K. Nomikos, 2021. "Estimating risk‐neutral freight rate dynamics: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1824-1842, November.

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    More about this item

    Keywords

    Risk preferences; Prospect Theory; Risk-Return relationship; Dry Bulk freight market; Utility functions;
    All these keywords.

    JEL classification:

    • L91 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Transportation: General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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