Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments
研究了航运运费率在下行和上行市场中的随机特性，推导了条件风险和偏度的定价方程，发现存在正的偏度溢价，表明航运投资者愿意为未来高收益机会接受较低预期回报。
Summary Shipping freight rates are notoriously volatile and shipping investors are perceived to be risk loving. The paper explores the stochastic properties of freight rates in the shipping industry and derives the analytical equations for their moments in downside and upside markets by using a two-piece extension of the generalized error distribution. Pricing equations developed across shipping segments show how conditional risk and conditional skewness are priced along with their risk spillover effects. Results reveal the existence of a positive skewness premium, suggesting that shipping investors are willing to accept lower expected returns for the opportunity to earn high pay-offs in the future.