Purpose

This paper aims to investigate the impact of global macro and other risk factors of the New York Stock Exchange (NYSE)- and National Association of Securities Dealers Automated Quotation (NASDAQ)-listed shipping companies’ stock returns from January 2001 to December 2019.

Design/methodology/approach

The methodological design includes multi-factor regressions for individual companies, augmented versions of these regressions to examine the likely impact of additional factors and finally panel regressions to assess the impact risk factors on all companies simultaneously. Estimations are done via ordinary least squares and the generalized method of moments.

Findings

Multi-factor model results showed that some of the US-specific and global macro risk factors surfaced as statistically significant for most of the companies and appeared to exhibit a consistent pattern in the way they affected shipping stocks. Thus, these companies’ exposures emanate mostly from the general US market’s movements and to a lesser extent from other firm-specific factors. Second, from the results of panel specifications, this study observes that domestic risk factors such as unemployment, inflation rates and industrial production growth emerged as significant for the NYSE-listed companies. As regard, the NASDAQ-listed ones, it was found that Libor and the G20 inflation rate were also affecting their stock returns.

Research limitations/implications

Companies examined are listed only in the US’s NYSE and NASDAQ. Hence, companies listed elsewhere were excluded. It may be concluded that these US exchange-listed companies abide mostly by domestic fundamentals and to some extent to selected global factors.

Practical implications

The significance of the findings in this study pertains to global investors and shipping companies’ managers alike. Specifically, given the differential sensitivities of the shipping companies to various risk factors (and the global business cycle, in general), it is possible to view the shipping companies’ stocks as a separate, alternate asset class in a global, well-diversified portfolio. Thus, such a broader portfolio would permit investors to earn positive returns and reduce overall risk. Managers of shipping companies would also benefit from the findings in this study in the sense that they should better understand the varying exposures of their companies to changing global and domestic macro conditions and successfully navigate their companies through business cycles.

Originality/value

Research on the global shipping industry has lagged behind and was mainly concentrated on the investigation of the sources of shipping finance and capital structure of shipping companies, investment and valuation, corporate governance and risk measurement and management. Empirical research on the potential micro and macro determinants of the stock returns of shipping companies, however, is scant. This paper fills the gap in the literature of identifying and evaluating the various macroeconomic, US and international risk, factors that affect shipping companies’ stock returns in a highly financially integrated world.

中文翻译：

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纽交所和纳斯达克上市航运公司股票收益的全球风险因素

目的

本文旨在调查全球宏观和其他风险因素对纽约证券交易所 (NYSE) 和全国证券交易商协会自动报价 (NASDAQ) 上市航运公司 2001 年 1 月至 2019 年 12 月的股票收益的影响。

设计/方法/方法

方法设计包括针对个别公司的多因素回归，这些回归的增强版本以检查其他因素的可能影响，最后是面板回归以同时评估对所有公司的影响风险因素。估计是通过普通最小二乘法和广义矩法进行的。

发现

多因素模型结果显示，一些美国特有的和全球宏观风险因素对大多数公司来说具有统计学意义，并且在影响航运股的方式上似乎表现出一致的模式。因此，这些公司的风险敞口主要来自美国市场的整体走势，而在较小程度上来自其他公司特定因素。其次，从面板规范的结果来看，本研究观察到失业率、通货膨胀率和工业生产增长等国内风险因素对纽交所上市公司而言具有重要意义。至于纳斯达克上市公司，发现Libor和G20通胀率也影响了它们的股票收益。

研究限制/影响

接受审查的公司仅在美国纽约证券交易所和纳斯达克上市。因此，其他地方上市的公司被排除在外。可以得出的结论是，这些在美国上市的公司主要遵守国内基本面，并在一定程度上遵守了选定的全球因素。

实际影响

本研究结果的重要性与全球投资者和航运公司的经理一样。具体而言，考虑到航运公司对各种风险因素（以及总体上全球商业周期）的不同敏感性，可以将航运公司的股票视为全球多元化投资组合中的一个单独的替代资产类别. 因此，这样一个更广泛的投资组合将允许投资者获得正回报并降低整体风险。航运公司的管理者也将从本研究的结果中受益，因为他们应该更好地了解他们的公司在不断变化的全球和国内宏观条件下的不同风险敞口，并成功地引导他们的公司度过商业周期。

原创性/价值

全球航运业研究滞后，主要集中在航运融资来源及航运公司资本结构、投资与估值、公司治理及风险计量与管理等方面的研究。然而，关于航运公司股票收益的潜在微观和宏观决定因素的实证研究很少。本文填补了识别和评估各种宏观经济、美国和国际风险以及在高度金融一体化世界中影响航运公司股票收益的因素的文献空白。