16

1997

MPM

Tvedt

TCE spots; VLCC; lay-up and scrapping “options” to spot market

Geometric mean reversion; uncertainty

Demand insensitive to freight rates; Supply inelastic in short run with idle ships

17

1998

MP&M

Glen & Martin

Risk connection with size and between spots and time charters of tankers; use of proxies

Reduced form; GARCH; MLFI; non-stationarity

Systematic differences of risk; fat tails; leptokurtosis; certain exceptions

18

1998

MP&M

Kavussanos & Marcoulis

Stocks of 14 water transportation companies, 1984-1995 NYSE

CAPM; multiple regressions

Betas = 0.94 − 0.95

19

1998

MP&M

Berg-Andreassen

Owners to decide chartering strategies in bulk shipping

CAPM

20

1999

MP&M(*)

Strandenes S

A two tier tanker market due to OPA 1990

Simulation

Dec. 1994; due to COFR

21

1999

Futures Markets

Kavussanos & Nomikos

Unbiased BIFFEX future prices; time-varying and constant hedge ratios

GARCH; GARCH-X

BFI follows RW; GARCH-X better for falling risks

22

1999

MP&M

Veenstra

The relation between spot and period dry bulk freight rates

Present Value model; VAR

There is a term structure; doubt for EMH

23

2001

TR, E

Kavussanos & Alizadeh

Seasonality in dry bulks; over sizes, contract duration and market conditions

“Unit root” test

24

2002

MP&M

Dikos & Papapostolou

Volatility over 4 sizes of tankers, 1980-1993, spots and time charters

Shiller, 1989

Spots more volatile, except Aframax; larger vessels more volatile, except Aframax. Period freight rates appeared to be perfect foresights of future rates

25

2002

MP&M

Kavussanos &

Alizadeh

Dry cargo ship prices market efficient? 1976-1997

GARCH-M-in the mean; Campbell & Shiller 1987; 1988

26

2003

MP&M

Tvedt

Stationarity in spot freight rates; 1984-1999; TCE 1988-1999; 2^nd hand prices; new-building prices, 1970-1999; three sizes; in $ and YEN

ADF with no trend; Bjerksund & Ekers, 1995

BFI; stationary; RW rejected for freight rates and 2^nd hand prices (Table 1)

27

2003

ME&L

Tvedt

Prices are mean reverting stochastic; freight rates on rigidities in yard capacity

Optimal stochastic control

Optimal investment & restructuring policies under switching costs

28

2004

Banking & Finance

Kavussanos & Visvikis

FFA over the counter; lead-lag relationships in returns & volatilities of spots and futures

VEC model-GARCH

29

2004

TR, E

Visvikis et al.

FFA’s effect spots and their volatility, in 2 dry bulk routes

Control variables; time-varying volatility; ARCH

No detrimental effect on spots; fat tails; spiked peaks; persistent variances