Hedging ship price risk using freight derivatives in the drybulk market

Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge rati...
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Autor*in:	Adland, Roar [verfasserIn] Ameln, Haakon Børnes, Eirik A.

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2019

Schlagwörter:	Ship values FFA Hedging efficiency Hedge ratio

Anmerkung:	© The Author(s) 2019

Übergeordnetes Werk:	Enthalten in: Journal of shipping and trade - [London] : SpringerOpen, 2016, 5(2019), 1 vom: 31. Dez.
Übergeordnetes Werk:	volume:5 ; year:2019 ; number:1 ; day:31 ; month:12

Links:	Volltext

DOI / URN:	10.1186/s41072-019-0056-3

Katalog-ID:	SPR038176378

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520			\|a Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age.
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spelling	10.1186/s41072-019-0056-3 doi (DE-627)SPR038176378 (SPR)s41072-019-0056-3-e DE-627 ger DE-627 rakwb eng Adland, Roar verfasserin (orcid)0000-0002-0345-2446 aut Hedging ship price risk using freight derivatives in the drybulk market 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2019 Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. Ship values (dpeaa)DE-He213 FFA (dpeaa)DE-He213 Hedging efficiency (dpeaa)DE-He213 Hedge ratio (dpeaa)DE-He213 Ameln, Haakon aut Børnes, Eirik A. aut Enthalten in Journal of shipping and trade [London] : SpringerOpen, 2016 5(2019), 1 vom: 31. Dez. (DE-627)844386278 (DE-600)2843080-3 2364-4575 nnns volume:5 year:2019 number:1 day:31 month:12 https://dx.doi.org/10.1186/s41072-019-0056-3 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 5 2019 1 31 12
allfields_unstemmed	10.1186/s41072-019-0056-3 doi (DE-627)SPR038176378 (SPR)s41072-019-0056-3-e DE-627 ger DE-627 rakwb eng Adland, Roar verfasserin (orcid)0000-0002-0345-2446 aut Hedging ship price risk using freight derivatives in the drybulk market 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2019 Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. Ship values (dpeaa)DE-He213 FFA (dpeaa)DE-He213 Hedging efficiency (dpeaa)DE-He213 Hedge ratio (dpeaa)DE-He213 Ameln, Haakon aut Børnes, Eirik A. aut Enthalten in Journal of shipping and trade [London] : SpringerOpen, 2016 5(2019), 1 vom: 31. Dez. (DE-627)844386278 (DE-600)2843080-3 2364-4575 nnns volume:5 year:2019 number:1 day:31 month:12 https://dx.doi.org/10.1186/s41072-019-0056-3 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 5 2019 1 31 12
allfieldsGer	10.1186/s41072-019-0056-3 doi (DE-627)SPR038176378 (SPR)s41072-019-0056-3-e DE-627 ger DE-627 rakwb eng Adland, Roar verfasserin (orcid)0000-0002-0345-2446 aut Hedging ship price risk using freight derivatives in the drybulk market 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2019 Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. Ship values (dpeaa)DE-He213 FFA (dpeaa)DE-He213 Hedging efficiency (dpeaa)DE-He213 Hedge ratio (dpeaa)DE-He213 Ameln, Haakon aut Børnes, Eirik A. aut Enthalten in Journal of shipping and trade [London] : SpringerOpen, 2016 5(2019), 1 vom: 31. Dez. (DE-627)844386278 (DE-600)2843080-3 2364-4575 nnns volume:5 year:2019 number:1 day:31 month:12 https://dx.doi.org/10.1186/s41072-019-0056-3 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 5 2019 1 31 12
allfieldsSound	10.1186/s41072-019-0056-3 doi (DE-627)SPR038176378 (SPR)s41072-019-0056-3-e DE-627 ger DE-627 rakwb eng Adland, Roar verfasserin (orcid)0000-0002-0345-2446 aut Hedging ship price risk using freight derivatives in the drybulk market 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © The Author(s) 2019 Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. Ship values (dpeaa)DE-He213 FFA (dpeaa)DE-He213 Hedging efficiency (dpeaa)DE-He213 Hedge ratio (dpeaa)DE-He213 Ameln, Haakon aut Børnes, Eirik A. aut Enthalten in Journal of shipping and trade [London] : SpringerOpen, 2016 5(2019), 1 vom: 31. Dez. (DE-627)844386278 (DE-600)2843080-3 2364-4575 nnns volume:5 year:2019 number:1 day:31 month:12 https://dx.doi.org/10.1186/s41072-019-0056-3 kostenfrei Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 5 2019 1 31 12
language	English
source	Enthalten in Journal of shipping and trade 5(2019), 1 vom: 31. Dez. volume:5 year:2019 number:1 day:31 month:12
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topic_facet	Ship values FFA Hedging efficiency Hedge ratio
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author	Adland, Roar
spellingShingle	Adland, Roar misc Ship values misc FFA misc Hedging efficiency misc Hedge ratio Hedging ship price risk using freight derivatives in the drybulk market
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topic_title	Hedging ship price risk using freight derivatives in the drybulk market Ship values (dpeaa)DE-He213 FFA (dpeaa)DE-He213 Hedging efficiency (dpeaa)DE-He213 Hedge ratio (dpeaa)DE-He213
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title	Hedging ship price risk using freight derivatives in the drybulk market
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title_full	Hedging ship price risk using freight derivatives in the drybulk market
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title_sort	hedging ship price risk using freight derivatives in the drybulk market
title_auth	Hedging ship price risk using freight derivatives in the drybulk market
abstract	Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. © The Author(s) 2019
abstractGer	Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. © The Author(s) 2019
abstract_unstemmed	Abstract We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age. © The Author(s) 2019
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title_short	Hedging ship price risk using freight derivatives in the drybulk market
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score	7.398486

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Hedging ship price risk using freight derivatives in the drybulk market

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