Shipping freight rates are notoriously volatile and shipping investors are perceived to be risk loving. The paper explores the stochastic properties of freight rates in the shipping industry and derives the analytical equations for their moments in downside and upside markets by using a two‐piece extension of the generalized error distribution. Pricing equations developed across shipping segments show how conditional risk and conditional skewness are priced along with their risk spillover effects. Results reveal the existence of a positive skewness premium, suggesting that shipping investors are willing to accept lower expected returns for the opportunity to earn high pay‐offs in the future.

中文翻译：

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下行和上行市场中的运费：其他运输部门的自身风险和溢出风险的定价

众所周知，航运运费是波动的，航运投资者被认为是喜欢冒险的。本文探讨了货运价格在航运业中的随机性质，并通过使用广义误差分布的两部分扩展得出了其在下行和上行市场中的矩的分析方程式。跨运输部门开发的定价方程式显示了如何对条件风险和条件偏度以及风险溢出效应进行定价。结果表明存在正偏度溢价，这表明航运投资者愿意接受较低的预期收益，以获得将来获得高额回报的机会。