Ship Finance as an Alternative Investment Asset for Pension Funds

kang, Baek; Park, Young-Seog

doi:10.16980/jitc.12.2.201604.425

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“…Lee and Park (2010) report that beta of ship investment companies in Korea is less volatile than the whole market. Baek and Park (2016) suggest that ship investment can be an alternative for National Pension Fund since it exhibit less risky risk-return profile than others when the counter-cyclical investment is carried out. Despite the previous attempts to investigate risk-return profile of the logistics industry, there have been no study covering all logistics companies listed on Korea Exchange.…”

Section: Introductionmentioning

confidence: 99%

Time-Varying Systematic Risk of the Stocks of Korean Logistics Firms

Kim¹

2017

JNPR

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: This paper aims to investigate the time-varying systematic risk of the stocks of Korean logistics firms. For this purpose, the period from January 1991 to October 2016 was examined with respect to 21 logistics companies that are listed on the Korea Exchange. The systematic risk of the logistics stocks is measured in terms of the Capital Asset Pricing Model (CAPM) beta for which the sensitivity of a stock is compared to the return changes of the whole market. Overall, the betas of the stocks of the Korean logistics companies are significantly lower than those of the market unity; however, it was revealed that the logistics betas are not constant, but are actually time-varying according to different economic regimes, which is consistent with the previous empirical findings. This finding is robust across different measurements of the logistics betas. In addition, the impact of macroeconomic factors on the logistics betas was examined. The present study shows that the logistics betas are positively associated with foreign exchange-rate changes.

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Section: Introductionmentioning

confidence: 99%

Time-Varying Systematic Risk of the Stocks of Korean Logistics Firms

Kim¹

2017

JNPR

View full text Add to dashboard Cite

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Ship Finance as an Alternative Investment Asset for Pension Funds

Cited by 1 publication

References 0 publications

Time-Varying Systematic Risk of the Stocks of Korean Logistics Firms

Time-Varying Systematic Risk of the Stocks of Korean Logistics Firms

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