Investors’ behavior and dynamics of ship prices: A heterogeneous agent model

Amir H. Alizadeh, Helen Thanopoulou and Tsz Leung Yip

Transportation Research Part E: Logistics and Transportation Review, 2017, vol. 106, issue C, 98-114

Abstract: Distinguishing investors into speculators and operators, and classifying the former group into momentum and contrarian investors, we develop a heterogeneous agent model (HAM) to examine the dynamics of price of second-hand dry bulk ships. The results suggest that momentum strategies based on short-term measures of earnings perform significantly better than the contrarian or passive (buy-and-hold) strategies. The HAM seems to capture the dynamics of vessel prices and the investors’ behavior in the market for ships very well. Finally, an increase in participation of momentum investors tends to increase price volatility, whereas higher demand from contrarian investors seems to lower price variability.

Keywords: Heterogeneous agent model; Investor behavior; Shipping investment; Momentum and contrarian strategies (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:transe:v:106:y:2017:i:c:p:98-114

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DOI: 10.1016/j.tre.2017.07.012

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