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We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model … 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 …
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The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid-ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results...
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