References
- Alexandridis, G., M. G. Kavussanos, C. Y. Kim, D. A. Tsouknidis, and I. D. Visvikis. 2018. “A Survey of Shipping Finance Research: Setting the Future Research Agenda.” Transportation Research Part E: Logistics and Transportation Review 115: 164–212.
- Alizadeh, A. H., H. Thanopoulou, and T. Leung Yip. 2017. “Investors’ Behavior and Dynamics of Ship Prices: A Heterogeneous Agent Model.” Transportation Research Part E: Logistics and Transportation Review 106: 98–114. doi:10.1016/j.tre.2017.07.012.
- Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-section and Time-series Effects.” Journal of Financial Markets 5 (1): 31–56. doi:10.1016/S1386-4181(01)00024-6.
- Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. “The Cross- Section of Volatility and Expected Returns.” The Journal of Finance 61 (1): 259–299. doi:10.1111/j.1540-6261.2006.00836.x.
- Annaert, J., M. De Ceuster, and K. Verstegen. 2013. “Are Extreme Returns Priced in the Stock Market? European Evidence.” Journal of Banking & Finance 37 (9): 3401–3411. doi:10.1016/j.jbankfin.2013.05.015.
- Bali, T. G., N. Cakici, and R. F. Whitelaw. 2011. “Maxing Out: Stocks as Lotteries and the Cross-section of Expected Returns.” Journal of Financial Economics 99 (2): 427–446. doi:10.1016/j.jfineco.2010.08.014.
- Barberis, N., A. Mukherjee, and B. Wang. 2016. “Prospect Theory and Stock Returns: An Empirical Test.” The Review of Financial Studies 29 (11): 3068–3107. doi:10.1093/rfs/hhw049.
- Barberis, N., L. J. Jin, and B. Wang. 2019. “Prospect Theory and Stock Market Anomalies.” The Journal of Finance 76 (5): 2639–2687 .
- Barberis, N., and M. Huang. 2008. “Stocks as Lotteries: The Implications of Probability Weighting for Security Prices.” American Economic Review 98 (5): 2066–2100.
- Barberis, N., M. Huang, and R. H. Thaler. 2006. “Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing.” American Economic Review 96 (4): 1069–1090. doi:10.1257/aer.96.4.1069.
- Dimson, E. 1979. “Risk Measurement When Shares are Subject to Infrequent Trading.” Journal of Financial Economics 7 (2): 197–226. doi:10.1016/0304-405X(79)90013-8.
- Drobetz, W., C. Menzel, and H. Schroder. 2016B. “Systematic Risk Behavior in Cyclical Industries: The Case of Shipping.” Transportation Research Part E: Logistics and Transportation Review 88: 129–145. doi:10.1016/j.tre.2016.01.008.
- Drobetz, W., D. Schilling, and L. Tegtmeier. 2010. “Common Risk Factors in the Returns of Shipping Stocks.” Maritime Policy & Management 37 (2): 93–120. doi:10.1080/03088830903533726.
- Fama, E. F., and J. D. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy 81 (3): 607–636. doi:10.1086/260061.
- Fama, E. F., and K. R. French. 1992. “The Cross-section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–465.
- Fama, E. F., and R. Kenneth. 1993. “French. Common Risk Factors in the Returns on Stock and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.1016/0304-405X(93)90023-5.
- Garrett, T. A., and R. S. Sobel. 1999. “Gamblers Favor Skewness, Not Risk: Further Evidence from United States’ Lottery Games.” Economics Letters 63 (1): 85–90. doi:10.1016/S0165-1765(99)00012-9.
- Greenwood, R., and S. G. Hanson. 2014. “Waves in Ship Prices and Investment.” The Quarterly Journal of Economics 130 (1): 55–109. doi:10.1093/qje/qju035.
- Grelck, M. B., S. Prigge, L. Tegtmeier, and M. Topalov. 2009. “Diversification Properties of Investments in Shipping.” The Journal of Alternative Investments 12 (1): 55–74. doi:10.3905/JAI.2009.12.1.055.
- Harvey, C. R., and A. Siddique. 2000. “Conditional Skewness in Asset Pricing Tests.” The Journal of Finance 55 (3): 1263–1295.
- Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48 (1): 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
- Kalouptsidi, M. 2014. “Time to Build and Fluctuations in Bulk Shipping.” American Economic Review 104 (2): 564–608.
- Kavussanos, M. G., A. Juell-Skielse, and M. Forrest. 2003. “International Comparison of Market Risks across Shipping-related Industries.” Maritime Policy & Management 30 (2): 107–122. doi:10.1080/0308883032000069271.
- Kavussanos, M. G., and S. N. Marcoulis. 1997a. “Risk and Return of US Water Transportation Stocks over Time and over Bull and Bear Market Conditions.” Maritime Policy & Management 24 (2): 145–158. doi:10.1080/03088839700000066.
- Kavussanos, M. G., and S. N. Marcoulis. 1997b. “The Stock Market Perception of Industry Risk and Microeconomic Factors: The Case of the US Water Transportation Industry versus Other Transport Industries.” Transportation Research Part E: Logistics and Transportation Review 33 (2): 147–158. doi:10.1016/S1366-5545(97)00015-X.
- Kuo, C.-C., H.-C. Chou, and C.-C. Chang. 2016. “Exploring Risk-return Relations in Dry Bulk Shipping.” International Journal of Shipping and Transport Logistics 8 (4): 488–506. doi:10.1504/IJSTL.2016.077291.
- Lewellen, J., and S. Nagel. 2006. “The Conditional CAPM Does Not Explain Asset-pricing Anomalies.” Journal of Financial Economics 82 (2): 289–314. doi:10.1016/j.jfineco.2005.05.012.
- Makrominas, M. 2018. “Estimating the Implied Risk Premium of US-listed Shipping Firms.” Maritime Policy & Management 45 (8): 1021–1041. doi:10.1080/03088839.2018.1450527.
- Moutzouris, I. C., and N. K. Nomikos. 2020. “Asset Pricing with Mean Reversion: The Case of Ships.” Journal of Banking & Finance 111: 105708. doi:10.1016/j.jbankfin.2019.105708.
- Nartea, G. V., D. Kong, and J. Wu. 2017. “Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market.” Journal of Banking & Finance 76: 189–197. doi:10.1016/j.jbankfin.2016.12.008.
- Panayides, P. M., N. Lambertides, and K. Cullinane. 2013. “Liquidity Risk Premium and Asset Pricing in US Water Transportation.” Transportation Research Part E: Logistics and Transportation Review 52: 3–15. doi:10.1016/j.tre.2012.11.007.
- Petersen, M. A. 2009. “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches.” The Review of Financial Studies 22 (1): 435–480. doi:10.1093/rfs/hhn053.
- Scholes, M., and J. Williams. 1977. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics 5 (3): 309–327. doi:10.1016/0304-405X(77)90041-1.
- Tezuka, K., M. Ishii, and M. Ishizaka. 2012. “Relationship between CAPM-β and Market Changes in the Japanese Liner Shipping Industry.” Maritime Policy & Management 39 (3): 297–319. doi:10.1080/03088839.2011.625987.
- Thaler, R. H., and W. T. Ziemba. 1988. “Anomalies: Parimutuel Betting Markets: Racetracks and Lotteries.” Journal of Economic Perspectives 2 (2): 161–174. doi:10.1257/jep.2.2.161.
- Theodossiou, P., D. A. Tsouknidis, and C. S. Savva. 2020. “Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments.” Journal of the Royal Statistical Society, Series A 183 (Part 3): 1–23. doi:10.1111/rssa.12553.
- Tversky, A., and D. Kahneman. 1992. “Advances in Prospect Theory: Cumulative Representation of Uncertainty.” Journal of Risk and Uncertainty 5 (4): 297–323. doi:10.1007/BF00122574.
- Zhong, A., and P. Gray. 2016. “The MAX Effect: An Exploration of Risk and Mispricing Explanations.” Journal of Banking & Finance 65: 76–90. doi:10.1016/j.jbankfin.2016.01.007.