Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/9963
Title: Liquidity risk premium and asset pricing in US water transportation
Authors: Panayides, Photis 
Lambertides, Neophytos 
Cullinane, Kevin P B 
Keywords: Aasset pricing;Fama-macbeth analysis;Liquidity risk;Market risk;Water transportation
Category: Economics and Business
Field: Social Sciences
Issue Date: 2013
Publisher: Elsevier B.V.
Source: Transportation Research Part E: Logistics and Transportation Review Volume 52, June 2013, Pages 3-15
DOI: http://dx.doi.org/10.1016/j.tre.2012.11.007
Journal: Transportation Research Part E: Logistics and Transportation Review
Abstract: The water transportation of freight has been one of the most important sectors in facilitating international trade and contributing to the growth of the world economy. Bearing in mind the importance of the relation between asset returns and liquidity in water transportation, this paper examines this relation within the context of US traded international water freight transportation firms. Using a Fama-MacBeth analysis, it is shown that the illiquidity risk premium is priced in the water transportation sector beyond the Fama and French and market-wide illiquidity risk factors, indicating higher average returns for stocks with greater illiquidity measures. It is also shown that the market-wide illiquidity factor and the Fama-French SMB and HML risk factors are significant in explaining stock returns. In contrast, market risk is found not to be priced in the water transportation sector. The results are also robust to asset pricing tests over two alternative sub-periods.
URI: http://ktisis.cut.ac.cy/handle/10488/9963
ISSN: 13665545
DOI: 10.1016/j.tre.2012.11.007
Rights: © 2012 Elsevier Ltd. All rights reserved.
Type: Article
Appears in Collections:Άρθρα/Articles

Show full item record

WEB OF SCIENCETM
Citations 10

8
checked on Aug 21, 2019

Page view(s) 10

82
Last Week
1
Last month
6
checked on Aug 21, 2019

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.