Risk and return in transportation and other US and global industries / by Manolis G. Kavussanos and Stelios N. Marcoulis.

Format:

Book

Author/Creator:

Kavussanos, Manolis G.

Contributor:

Marcoulis, Stelios.

Language:

English

Subjects (All):

Merchant marine--United States--Finance.

Merchant marine.

Transportation--United States--Finance.

Transportation.

Capital assets pricing model.

Rate of return.

Finance.

United States.

Rate of return--United States.

Capital assets pricing model--United States.

Physical Description:

xviii, 174 pages : illustrations ; 25 cm

Place of Publication:

Boston : Kluwer Academic Publishers, [2001]

Contents:

1.2. The Decision Process for the Investor-Analysing and Selecting Stocks 7

1.3. The Determinants of Stock Returns-General Literature Survey 9

1.4. Importance of the Industry Effect 15

1.4.1. A General Finance point of view 15

1.4.2. A Strategy point of view 18

1.5. Industry Classification of Industries 20

1.6. Industries used for the Purposes of this Thesis 23

1.6.1. US Transportation Industries 23

1.6.2. Non-Transportation Industries 29

1.6.3. Rationale for selecting the above industries 35

Appendix 1 Exact SIC Definitions for the US Industries covered in the Book 37

Appendix 2 US Companies used in this Book grouped according to SIC 40

Chapter 2 Statistical Methodology 43

2.2. Summary Statistics for a set of Data 43

2.3. Inference (Hypothesis Testing or Confidence Intervals) 47

2.4. Single Equation Regression Methods 49

2.4.1. The problem of Estimation 52

2.4.2. The problem of Inference 53

2.4.3. Goodness of Fit and some DiagnosticTests 54

2.4.4. The Significance of the Regression Model Assumptions and GLS estimation 56

2.5. Multiple Equation Regression Methods 58

2.5.1. Seemingly Unrelated Regression Equations (SURE) 60

2.5.2. SURE Estimation with unknown Covariance Matrix 61

2.5.3. Properties of SURE Estimators 62

2.6. Autoregressive Integrated Moving Average (ARIMA) Models 63

Chapter 3 Data Definitions, Properties, Transformations 66

3.2. Models and Variables 66

3.2.1. Correlation Amongst Variables 71

3.3. Properties of Returns of the Water Transportation Industry 71

Chapter 4 Results from the CAPM-Capital Asset Pricing Model 75

4.2. The Capital Asset Pricing Model (CAPM) and Market Risk 76

4.2.1. The CAPM under different market conditions 77

4.3. Results for the Water Transportation Industry 78

4.3.1. Camparison of the Industry with the Market Index 79

4.3.2. Bull versus Bear Market Conditions 83

4.3.3. The Size effect 84

4.4. Comparison of the Water Transportation Beta with other Industries 86

Chapter 5 Microeconomic (Company Specific) Factors As Determinants Of Equity Returns 93

5.2. A Possible Set of Relevant Microeconomic Factors 93

5.3. Results

Identified Factors in each Industry 95

Chapter 6 Macroeconomic (Economy Wide) Factors As Determinants Of Equity Returns 106

6.2. A Possible Set of Relevant Macroeconomic Factors 107

6.3. Results

Identified Factors in each Industry 109

Chapter 7 Microeconomic and Macroeconomic Factors-A Unified Approach 118

7.2. A Possible Set of Relevant Micro and Macroeconomic Factors 119

7.3. Results

Identified Factors in each Industry 120

Chapter 8 Macroeconomic Factors and International Industry Returns 128

8.3. Data 132

8.4. Empirical Tests and Results 135

9.1.1. Summary of Results from the CAPM: Intertemporal Analysis, Different market conditions and Cross Industry Comparison 146

9.1.2. Microeconomic Factors as Determinants of Equity Returns 147

9.1.3 Macroeconomic Factors as Determinants of Equity Returns 149

9.1.4. Microeconomic and Macroeconomic Factors-A Unified Approach 151

9.1.5. Macroeconomic Factors and International Industry Returns

A Global Approach 153

9.2.1. Usefulness of the findings for investors and portfolio managers 155

9.2.2. Usefulness of the findings for corporate financiers 157.

Notes:

Includes bibliographical references (pages [163]-168) and index.

ISBN:

0792373561

OCLC:

46835357