Multiple factor analyses of the perceived market risk in the maritime industry a decade after 2008 global financial

Abstract

The aim of this master thesis is to develop multiple models in order to investigate the determining factors that dominated the shipping industry’s market risk a decade after global financial crisis of 2008. To this end, this analysis uses a sample of shipping firms listed in US, their betas and other financial characteristics, as well as the outstanding macroeconomic characteristics of the global market over the period January 2009 – October 2018. Yet, it is attempted to compare and contrast the dominant factors over the first five years after the 2008 crisis commenced (up to 2013), versus the latter five years (from 2013 on). The set of the microeconomic consists of: market value-to-book value of equity ratio; current ratio; leverage as described by debt-to-asset ratio; dividend yield; earnings growth; ROE; and ROI; while the macroeconomic factors used are: bunker prices; inflation and industrial production for OECD countries and world steel production. The power of the relationships described above are investigated through panel regression analysis for the firm specific variables, while the macroeconomic variables, which are time-series, are tested through time series regression analysis. The highlight points in our findings are that both micro and macro-economic factors seem to play a significant role affecting the shipping firms’ betas, although the most important factors for the first period (2009-2013) are industrial production growth, financial leverage and return on equity ratio (ROE). Nevertheless, for the second period (2014-2018) the bunker prices, current ratio and financial leverage seem to be more powerful in determining a shipping firm’s market risk.