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Excess returns in the spot market for bulk carriers

Author

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  • Vangelis Tsioumas

    (Department of Maritime Studies, University of Piraeus, Gr. Lampraki 21 & Distomou, Piraeus 185 32, Greece. E-mails: evangelos.tsioumas@gmail.com; stratos@unipi.gr)

  • Stratos Papadimitriou

    (Department of Maritime Studies, University of Piraeus, Gr. Lampraki 21 & Distomou, Piraeus 185 32, Greece. E-mails: evangelos.tsioumas@gmail.com; stratos@unipi.gr)

Abstract

The present study investigates the excess return dynamics between time charter (t/c) trip charters and their underlying voyage charters in the dry bulk market. Using a weekly data set over the period January 2003 to January 2014, we first examine the existence of a long-term co-integrating relationship between trip charters and their respective voyages expressed in Time Charter Equivalents. Then we develop a new methodology based on technical analysis in order to identify excess return signals and form a trading strategy. The results show that our approach outperforms the benchmark strategy of always chartering in vessels on t/c trip charters and perform the underlying voyage charters. Our analysis can be used by ship operating companies as a guide to select voyages with the highest probability of excess returns and adapt their chartering strategies accordingly.

Suggested Citation

  • Vangelis Tsioumas & Stratos Papadimitriou, 2015. "Excess returns in the spot market for bulk carriers," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 17(4), pages 399-415, December.
    • Handle: RePEc:pal:marecl:v:17:y:2015:i:4:p:399-415
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