Publikationen

We examine whether catastrophe bonds can serve as a hedge or a safe haven for global stock, bond, real estate, commodity, private equity, and infrastructure markets. Our findings indicate that catastrophe bonds are a poor hedge, but they act as an effective diversifier against other asset classes. Furthermore, catastrophe bonds serve as a strong safe haven against extreme price drops of the stock market only during the post-crisis period.

Despite their high economic importance, academic research has granted KG funds only marginal attention. A main reason is the lack of reliable performance data due to non-observable market prices during the lifetime of a KG fund. In order to measure the performance of KG funds, we construct an index using a database of more than 300 German one-ship companies during the sample period from December 1996 to December 2007. Looking at the distributional characteristics and the correlation structures, we analyse the co-movement of the KG index with a broad set of other shipping-related indices. The variation of our index is more dependent on vessel prices than on charter rates. Moreover, we use principal component analysis (PCA) in order to examine whether there are common structures and linkages between the different indices. On the basis of the resulting factor loadings, the KG index exhibits peculiar risk-return characteristics. PCA identifies one statistical factor that is specific to KG funds in the sense that only the KG index loads significantly on this particular factor. Our index does not merely represent a linear combination of vessel prices and freight rates, and it also does not stand in direct relationship with all other shipping-related indices. Instead, it constitutes a new index concept measuring the development of the market value of equity and distributions in the form of a performance index and incorporates specific information that is primarily of importance for one-ship companies. The availability of a performance index will likely increase transparency in the market for closed-end ship funds.

The knowledge of risk factors that determine an industry's expected stock returns is important to assess whether this industry serves as a separate asset class. This study analyses the macroeconomic risk factors that drive expected stock returns in the shipping industry and its three sectors: container, tanker, and bulker shipping. Our sample consists of the monthly returns of 48 publicly-listed shipping companies over the period from January 1999 to December 2007. We use shipping stocks together with a set of country or other industry indices to estimate the macroeconomic risk profiles and the corresponding factor risk premiums. Using a Seemingly Unrelated Regressions (SUR) model to estimate factor sensitivities, we document that shipping stocks exhibit remarkably low stock market betas. We also provide evidence that a multidimensional definition of risk is necessary to capture the risk-return spectrum of shipping stocks. A one-factor model produces large pricing errors, and hence it must be rejected based on tests of the model's orthogonality conditions using the Generalized Method of Moments (GMM). In contrast, when the change in the trade-weighted value of the US$, the change in G-7 industrial production, and the change in the oil price are added as additional risk factors, the resulting multifactor model is able to explain the cross-section of expected stock returns. The risk-return profile of shipping stocks differs from country and other industry indices. However, the sensitivities to global systematic risk factors are similar across all three sectors of the shipping industry. Overall, our results suggest that shipping stocks have the potential to serve as a separate asset class. Our findings also have important implications for computing the cost of equity capital in the shipping industry.