From a historical point of view tanker freight rates have been volatile. . The tanker shipping segment is the second largest segment within shipping and considered to be the segment with the highest volatility. Ship-owners will experience periods abundant of “milk and honey” followed periods where they have to live out of “bread and water”. Shipping is a high risk business characterized by stronger impacts from macroeconomic forces and maritime economic theory explains this market behavior by imbalances between supply and demand. This thesis sets out to model how tanker equity values are affected by this supply and demand relationship. Earlier research by Grammenous & Arkoulis (2002) and Mitter & Jensen (2006) have been conducted with different approaches and results. As a dependent variable, we have created a portfolio of 18 tanker shipping companies. The portfolio returns were recalculated monthly and weighted by company specific market capitalization divided by total portfolio market capitalization. To describe the dependent variable, different macroeconomic risk factors are considered as independent variables. The variables that are chosen for our model is based on risk factors depicted in maritime economic literature and macroeconomic literature. To investigate for how independent variables affect the dependent variable a multifactor model approach was applied. The variables that proved to have a significant effect on the dependent variable was: World portfolio stock return, Oil price, exchange rate USD-EUR, VLCC fleet size and selected lags of the series. The tanker portfolio was proven to have a significant positive relationship with the development of the WTI oil price, VLCC spot rates, tanker fleet size, the MSCI world index and exchange rate of USD. Further the analysis could not detect any significant relationship related to the industrial production in OECD and US or petroleum inventories in the US. The final model ended up with an explanatory power of 39.7% which means that a large part of the changes in the tanker stock portfolio remain unexplained. The results of this thesis are for some relationships in line with earlier studies on risk factors and shipping stock returns, however some relationships differ from earlier studies.
|Uddannelser||Cand.merc.aef Applied Economics and Finance, (Kandidatuddannelse) Afsluttende afhandling|