We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate, and interest rate. The sensitivities of stock returns to the risk factors differ across quantiles and shipping segments and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in long-term interest rate with variation over quantiles. This provides evidence of asymmetric and heterogeneous dependence between stock returns and certain macroeconomic risk variables. The results of the study also suggest that standard OLS regression is inadequate to uncover the risk-return relation.

中文翻译：

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航运业中的股票退货和风险管理建模

我们使用分位数回归（QR）模型估算宏观经济风险因素对运输库存收益的影响。我们对世界市场上的集装箱，干散货，化工/天然气，油轮和多元化航运部门的投资组合的超额收益进行回归，得出超额收益，波动率指数以及石油价格，汇率和利率的变化。股票收益率对风险因素的敏感性在分位数和运输部门之间有所不同，并且对于波动率指数，世界市场投资组合收益，汇率和长期利率随分位数的变化而变化均具有重要意义。这提供了股票收益与某些宏观经济风险变量之间非对称和异构依赖的证据。