TY - JOUR

T1 - Systematic risk behavior in cyclical industries

T2 - The case of shipping

AU - Drobetz, Wolfgang

AU - Menzel, Christina

AU - Schröder, Henning

N1 - Funding Information: Schröder is grateful for support through the Research Center for Maritime Management at the University of Hamburg and its sponsors. We acknowledge helpful comments from Roar Adland, Amir Alizadeh as well as from seminar participants at the IFSPA 2014 meeting in Hong Kong, the World Finance and Banking Symposium 2014 in Singapore, the MFS Spring Conference 2015 in Larnaca, the World Finance Conference 2015 in Buenos Aires, and the IAME 2015 Annual Meeting in Kuala Lumpur. We thank Anel Smajic and Simon Döring for excellent research assistance. All remaining errors are our own. Publisher Copyright: © 2016 Elsevier Ltd.

PY - 2016/4/1

Y1 - 2016/4/1

N2 - This study explores macroeconomic and industry-level effects on corporate systematic risk (or beta) for the international shipping industry. We document the extent to which stock market betas fluctuate over time in this asset-intensive and cyclical industry. Moreover, we analyze the fundamental determinants of systematic risk. We find evidence for high levels of systematic risk in shipping stocks, which match the fundamental risk characteristics of the industry (such as high financial and operating leverage). Shipping firms exhibit distinct industry-specific beta dynamics compared to firms from benchmark sectors or the average firm in the S&P 500 index. Changes in both economic conditions and industry-specific risk factors explain large proportions of beta variation in the cross-section of firms and over time.

AB - This study explores macroeconomic and industry-level effects on corporate systematic risk (or beta) for the international shipping industry. We document the extent to which stock market betas fluctuate over time in this asset-intensive and cyclical industry. Moreover, we analyze the fundamental determinants of systematic risk. We find evidence for high levels of systematic risk in shipping stocks, which match the fundamental risk characteristics of the industry (such as high financial and operating leverage). Shipping firms exhibit distinct industry-specific beta dynamics compared to firms from benchmark sectors or the average firm in the S&P 500 index. Changes in both economic conditions and industry-specific risk factors explain large proportions of beta variation in the cross-section of firms and over time.

KW - CAPM

KW - Industry risk

KW - Maritime financial management

KW - Real determinants

KW - Shipping stocks

KW - Time-varying systematic risk

KW - Management studies

UR - http://www.scopus.com/inward/record.url?scp=84959570436&partnerID=8YFLogxK

U2 - 10.1016/j.tre.2016.01.008

DO - 10.1016/j.tre.2016.01.008

M3 - Journal articles

AN - SCOPUS:84959570436

VL - 88

SP - 129

EP - 145

JO - Transportation Research, Part E: Logistics and Transportation Review

JF - Transportation Research, Part E: Logistics and Transportation Review

SN - 1366-5545

ER -