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dc.contributor.advisorÅdland, Roar Os
dc.contributor.authorByrkjeland, Maren Nessen
dc.contributor.authorEriksen, Tina Marie
dc.date.accessioned2020-03-05T13:43:57Z
dc.date.available2020-03-05T13:43:57Z
dc.date.issued2019
dc.identifier.urihttps://hdl.handle.net/11250/2645543
dc.description.abstractThis thesis investigates if forward freight agreements (FFA) can be used to hedge stock price risk in the dry bulk shipping sector. We establish a cointegrated relationship between FFAs and dry bulk stock prices based on the link between freight rates and stock price returns of dry bulk companies. Using contracts in the Capesize, Panamax and Supramax segment, we evaluate hedge efficiency and minimum variance hedge ratios derived from the Ederington regression. The hedge efficiency is compared across various hedge intervals, different maturities and selected companies operating in the dry bulk shipping segment. We discover that the investigated attributes have differing implications for the hedge efficiency. From the comparison across hedge intervals, we find that hedge efficiency both increases and decreases with increasing hedging horizon. Thus, our results are rather unclear, and we cannot draw any conclusions about the implication of hedge horizon. Secondly, we show that forward contracts with a maturity of one calendar year achieve, in general, higher hedging efficiency than forward contracts with a maturity of one quarter. Furthermore, our results indicate that the hedging efficiency of stock prices is partially explained by a company’s risk profile in the physical market. Finally, we compare our findings to other studies, and find that the hedging efficiency of FFAs on stock price risk is, in general, mediocre. We believe that our findings are important for both private investors and investment funds trading in the shipping stock market. Our findings provide useful insight to risk management for equity investors in the dry bulk shipping sector.en_US
dc.language.isoengen_US
dc.subjectfinancial economicsen_US
dc.titleCan you hedge dry bulk stock prices using forward freight agreements? : a study of risk management in the dry bulk shipping stock marketen_US
dc.typeMaster thesisen_US
dc.description.localcodenhhmasen_US


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