Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9963
Title: Liquidity risk premium and asset pricing in US water transportation
Authors: Panayides, Photis 
Lambertides, Neophytos 
Cullinane, Kevin P B 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Aasset pricing;Fama-macbeth analysis;Liquidity risk;Market risk;Water transportation
Issue Date: Jun-2013
Source: Transportation Research Part E: Logistics and Transportation Review, 2013, vol. 52, pp. 3-15
Volume: 52
Start page: 3
End page: 15
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: https://hdl.handle.net/20.500.14279/9963
ISSN: 13665545
DOI: 10.1016/j.tre.2012.11.007
Rights: © Elsevier
Type: Article
Affiliation : Cyprus University of Technology 
Edinburgh Napier University 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

CORE Recommender
Show full item record

SCOPUSTM   
Citations

13
checked on Nov 9, 2023

WEB OF SCIENCETM
Citations 10

14
Last Week
0
Last month
0
checked on Oct 29, 2023

Page view(s)

432
Last Week
0
Last month
3
checked on Oct 31, 2024

Google ScholarTM

Check

Altmetric


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