Risk and Return in Transportation and Other US and Global Industries / Edition 1

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This book undertakes industry analysis of the risk-return behaviour of sk returns in the US. It focuses on transportation and a number of non-transportation companies, with particular attention paid to water transportation. The market risk (measured by beta) is identified as the relevant metric to use for comparison. Single and multi-index models are employed to identify exposures (betas) to market, microeconomic and macroeconomic types of risk in each industry. These industries include water transportation, air transportation, trucks, rail transportation, electricity, gas, petroleum refining and real estate.
Microeconomic factors employed include market value of equity, book to market value of equity ratio, earnings to price ratio, asset to market value of equity ratio, and asset to book value of equity ratio. Macroeconomic factors include: industrial production, term structure of interest rates, oil prices, consumption and inflation. Returns of each industry seem to be explained by different sets of economic factors. For shipping, apart from the market, industrial production, oil prices, the market value of equity, and the asset to book ratio are significant. Moreover, the systematic risk of this industry is not different to that of the market, has not changed significantly under different market conditions, is lower than rail transportation, higher than real estate and similar to that of the remaining industries. The analysis is also extended beyond the US, to global industry portfolios.

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Editorial Reviews

Kavussanos and Marcoulis (both: City University Business School) present an analysis of risk-return behavior of stock invested in American companies, especially transportation companies. Applying single and multi-index models to water transportation, air transportation, trucking, railway, electric, gas, petroleum, and real estate companies, they identify market exposures and risks at the micro- and macro-economic levels. They then determine the economic factors determining returns in each industry. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

  • ISBN-13: 9780792373568
  • Publisher: Springer US
  • Publication date: 6/30/2001
  • Edition description: 2001
  • Edition number: 1
  • Pages: 192
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.56 (d)

Table of Contents

List of Figures. List of Tables. List of Abbreviations. List of Symbols. 1. Book Overview. 2. Statistical Methodology. 3. Data Definitions, Properties, Transformations. 4. Results from the CAPM - Capital Asset Pricing Model. 5. Microeconomic (Company Specific) Factors As Determinants of Equity Returns. 6. Macroeconomic (Economy Wide) Factors As Determinants of Equity Returns. 7. Microeconomic and Macroeconomic Factors - A Unified Approach. 8. Macroeconomic Factors and International Industry Returns. 9. Conclusion. List of Figures.

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