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The Stock Market Perception of Industry Risk and Macroeconomic Factors: The Case of the US Water and Other Transportation Stocks

Manolis Kavussanos () and Stelios N Marcoulis
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Stelios N Marcoulis: **Cyprus Popular Bank, Nicosia, Cyprus

Authors registered in the RePEc Author Service: Stelios Markoulis ()

Maritime Economics & Logistics, 2000, vol. 2, issue 3, 235-256

Abstract: This paper attempts to uncover and compare the macroeconomic determinants of the stock returns of US listed water transportation companies to those of other transport sectors over the period July 1985 – June 1995; these involve air transportation, rail transportation and trucks. Other non-transport sectors such as electricity, gas, petroleum refining and real estate are also examined. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of macroeconomic factors: (1) industrial production; (2) the term structure of interest rates; (3) oil prices; (4) consumption; and (5) inflation. Multivariate Least Square (MLSQ) regression methods are employed to estimate the above relationships. Important findings of this paper are: First, the effect of macroeconomic factors on stock returns varies among transportation industries and the other industries examined. Second, the stock market return influences the returns of all industries. Third, the market beta of the water transportation industry does not appear to be significantly higher, or lower, than the market beta of the remaining transportation, and non-transportation, sectors analysed.International Journal of Maritime Economics (2000) 2, 235–256; doi:10.1057/ijme.2000.19

Date: 2000
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