Liquidity risk premium and asset pricing in US water transportation

The water transportation of freight has been one of the most important sectors in facilitating international trade and contributing to the growth of the world economy. Bearing in mind the importance of the relation between asset returns and liquidity in water transportation, this paper examines this relation within the context of US traded international water freight transportation firms. Using a Fama–MacBeth analysis, it is shown that the illiquidity risk premium is priced in the water transportation sector beyond the Fama and French and market-wide illiquidity risk factors, indicating higher average returns for stocks with greater illiquidity measures. It is also shown that the market-wide illiquidity factor and the Fama–French SMB and HML risk factors are significant in explaining stock returns. In contrast, market risk is found not to be priced in the water transportation sector. The results are also robust to asset pricing tests over two alternative sub-periods.     

Freight options: Price modelling and empirical analysis

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are commonly traded in the freight derivatives market. By exploiting the computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the trip-charter route average Baltic Capesize, Panamax and Supramax Indices. We show that the jump-extended setting yields important model improvements over the basic lognormal setting.     

The determinants of credit spreads changes in global shipping bonds

This paper investigates whether bond, issuer, industry and macro-specific variables account for the observed variation of credit spreads’ changes of global shipping bond issues before and after the onset of the subprime financial crisis. Results show that conclusions as to the significant variables of spreads depend significantly on whether two-way cluster-adjusted standard errors are utilized, thus rendering results in the extant literature ambigious. The main determinants of global cargo-carrying companies’ shipping bond spreads are found in this paper to be: the liquidity of the bond issue, the stock market’s volatility, the bond market’s cyclicality, freight earnings and the credit rating of the bond issue.     

Seasonality patterns in dry bulk shipping spot and time charter freight rates

This paper investigates the nature of seasonality (deterministic and/or stochastic) in dry bulk freight rates, and measures and compares it across freight rates of different vessel sizes (Capesize, Panamax and Handysize), contract duration (spot, 1-year and 3-year time charters) and market conditions (peaks and troughs). Although, there is no evidence of stochastic seasonality, deterministic seasonality in freight rates is found to be varying from −18.2% to 15.3% in individual months within a year. Spot rates for larger vessels exhibit higher seasonal fluctuations compared to smaller vessels, although differences in seasonal fluctuations between sectors are eliminated as the contract duration increases. Also, for each vessel size, the seasonality declines as the contract duration rises. Asymmetries in seasonal fluctuations in freight rates over different market conditions are attributed to the high and low elasticities of supply expected under the respective market conditions. The results have implications for tactical shipping operations such as timing of dry-docking, chartering strategies and switching between freight markets.     

An equilibrium price model of spot and forward shipping freight markets

We focus on non-storability, a characteristic of shipping freight that leads to an enormous gap between the widely-used no-arbitrage pricing theory and shipping freight derivative markets. Our main contribution is to modify and generalize the Bessembinder and Lemmon (2002) model. Equilibrium spot and forward price formulae are derived in a shipping freight market where shipowners, charterers, and speculators are non-homogeneous. From our formulae, we also obtain the properties of the forward risk premium and an optimal hedge ratio. In addition, we use the model to quantify the risk attitude of market participants.     

Pricing freight rate options

In this paper we set up the theoretical framework for the valuation of the Asian-style options traded in the freight derivatives market. Assuming lognormal spot freight dynamics, we show that Forward Freight Agreements (FFA) are also lognormal prior to the settlement period, but that this lognormality subsequently breaks down. We suggest approximate dynamics in the settlement period for the FFA that leads to closed-form option pricing formulas for Asian call and put options written on the spot freight rate indices in the Black [Black, F., 1976. The pricing of commodity contracts. Journal of Financial Economics 3, 167–179] framework. In a Monte Carlo experiment we show that our formula gives very accurate prices, in particular for forward-starting freight options.     

The effects of deregulation, changed customer requirements and new technology on the organisation and spatial patterns of the air freight sector in Europe

Customer requirements, new technologies and the deregulation and liberalisation measures of the last 15 years have had a significant influence on market structures in air freight transport in Europe. The study examines the sector using the concept of global production networks. It describes the reorganisation in various dimensions. Firstly, there is the development from single air freight forwarders to global networks of firms. Secondly, we find a reorganisation of inter-company relations. Thirdly, airlines around the world organise their air traffic as a hub system. This lends added importance to the selected hub airport, and puts pressure on them to enlarge. As spatial consequences there is greater competition among international airports.     

The geography of freight-related accidents in the era of E-commerce: Evidence from the Los Angeles metropolitan area

Due to the burgeoning demand for freight movement in the era of e-commerce, freight related road safety threats have been growing in both urban and suburban areas, despite the improved general traffic safety over the past decades. The empirical evidence on how freight trucks related crashes are distributed across neighborhoods and correlated to spatially varying factors is, however, highly limited. This article uses data from the Los Angeles region in 2018 to analyze the spatial patterns of freight trucks related traffic crashes and examines the major factors that contribute to those patterns using spatial econometric models. Maps show that freight trucks related crashes are highly associated with major freight generators but less clustered than the overall traffic crashes. Results from the spatial Durbin model indicate that access to freight generators, economic attributes, land uses, road infrastructure, and road network variables all contribute to the spatial distribution of freight trucks related crashes. The findings could help transport planners understand the dynamics of freight trucks related traffic safety and develop operational measures for mitigating the impacts of growing goods movement on local communities.     

The influence of charterers and owners on bulk shipping freight rates

We propose a model for freight rate formation in individual contracts that incorporates charterer and owner heterogeneity and owner–charterer match effects. We estimate fixed effect regressions and implement a variance decomposition for 2863 VLCC tanker and 1789 Capesize fixtures between 2011 and 2014. Although market conditions and routes remain the most influential covariates, the characteristics of charterers, owners and of their matches are also significant microeconomic determinants of the freight rate level. The contribution of the charterer fixed effect is large in the VLCC market, while the charterer and match effects are large contributors to the Capesize spot freight rate.     

Challenges confronting new traction providers of rail freight in Germany

Germany is one of the most liberalised countries in Europe for rail freight. Since the market became deregulated in 1991, 299 companies have obtained licences to haul freight of these approximately 130 actively engage in providing traction, but 85% of the market is still dominated by Railion, the freight arm of DB. Many obstacles to market entry have been identified in the literature since liberalisation. The goal of this paper is to assess if these obstacles persist and what new challenges have arisen. The study, based on a survey of new rail traction providers, suggests that several of the challenges identified in the literature have been overcome, but major problems persist because of the dominance of DB through its control of infrastructure and its market power.     

The dynamics between freight volatility and fleet size growth in dry bulk shipping markets

This paper studies the relationship between the time-varying volatility of dry bulk freight rates and the change of the supply of fleet trading in dry bulk markets. An abundance of research has been done to understand the time-varying characteristics of freight rate volatility, yet few have discussed the determinants of freight volatility. We therefore examine freight volatility against the changes in fleet size and other shipping market variables over January 1973–October 2010. The study employs a two-step model specification. The first step is the measurement of freight rate volatility through an AR-GARCH model; the second step is the analysis of the relationship between freight rate volatility and fleet size growth through a GMM regression. We confirm similar findings in the literature that freight rate volatility is time varying. Furthermore, the results reveal that the change in fleet size positively affects freight rate volatility, while the spot rate volatility of Capesize dry bulk exhibits a stronger reaction to the change in fleet size. The results of this study contribute in a general sense to understanding the systematic risk of shipping markets.     

Freight distribution in megacities: Perspectives of shippers,logistics service providers and carriers

We analyse the opinions of shippers, logistic service providers (LSPs) and carriers related to regulations and issues faced by these companies regarding freight distribution in megacities, and the logistical performance measures likely affected by those regulations and issues. We present a review of the freight distribution literature focusing on a large number of freight distribution aspects, such as regulatory, collaborative, environmental, logistical and risk. We also investigate some logistical performance indicators adopted by the companies. Subsequently, we conduct a survey with 147 companies working in the São Paulo Metropolitan Region (SPMR). We use multivariate analysis of variance to assess the logistical performance indicators and non-linear canonical correlation analysis to identify the most relevant freight distribution attributes. The results that the majority of carriers are located inside the SPMR and efficiently handle these issues better than others actors. The lack of collaboration, cargo theft, traffic congestion and some regulations affect the LSP’s logistical performance. Moreover, the actors perceive regulatory aspects, mainly traffic congestion, and a lack of security for deliveries in unsafe areas as the significant issues for deliveries in megacities.     

铁路货运量组合预测模型的研究

铁路货运量预测作为铁路运输生产的基础工作之一,是铁路运输企业制定正确市场营销战略的前提条件。传统的预测方法已经不能适应日益复杂的运量预测需要,因此借鉴国内各种运输方式的运量预测方法,并与铁路的特点相结合,提出适应我国铁路情况的多种预测方法相结合的组合预测模型体系和方法,并通过实例计算,得出2003年—2005年铁路货运量的预测结果。     

Transport infrastructure in the Baltic States post-EU succession

Developments in freight transport and transport infrastructure have a strong influence on economic growth. The Baltic States have recently undergone a transformation from planned economies to market orientation. The interest in the Baltic States originates from their importance as new markets within the European Union, and their transit function for trade with Russia. Rising trade volumes and increasing freight transport are forecasted in the near term for the region. This study aims at developing an understanding of the regulatory, structural and developmental conditions and trends affecting the transport infrastructure in a region in economic transition, namely the Baltic States, in the light of its current economic development. Comparisons are made with Buchhofer’s [Buchhofer, E., 1995. Transport infrastructure in the Baltic States during the transformation to market economies. Journal of Transport Geography 3(1), 69–75] assessment of transport infrastructure in the Baltic States in the early years of transformation to market economies.     

Land development implications of the British rail freight renaissance

The post-war era saw a dramatic decline in both the volume and market share of freight transported by rail in Britain. This decline was associated with the closure of thousands of rail freight facilities and reduction by one third in the route mileage of the national railway network. However, as a result of railway privatisation and increasing constraints on the competitiveness of the road haulage industry, the long decline has halted and rail freight traffic is growing. This article reviews the implications of this change for the demand for rail freight facilities and for extra capacity in the railway network, and considers how the land-use planning and transport planning systems might respond.     

Urban spatial structure,employment subcenters,and freight travel

Metropolitan areas in the U.S. have become increasingly polycentric. Large employment subcenters have emerged outside of central cities, competing against the traditional city center for labor and businesses. The existing literature on land use and transportation focuses on passenger travel, providing little insight into the impact of polycentric metropolitan development patterns on freight activity. In this study, we use the Los Angeles region as a case study to examine the relationship between urban spatial development patterns and freight travel. Using the National Employment Time Series (NETS) data, we identify employment subcenters in metropolitan Los Angeles. We characterize freight activities associated with the subcenters using data from the Southern California Association of Governments (SCAG). We develop a regression model that estimates freight activity as a function of geographic characteristics, such as whether a location is in an employment subcenter, measures of nearby employment, access to the highway network, and proximity to intermodal freight facilities. The results indicate that employment is an important driver of freight activity; however, employment subcenters have an independent effect on freight activity. The results of this study suggest that further research on urban spatial structure and freight activity should assess the effects of employment subcenters and how their particular employment composition and characteristics are associated with freight activities at the metropolitan level. Such an approach would lead to more precise policy recommendations for urban goods movement.     

Segmenting industrial competitive markets: An example from air freight

This paper applies a disaggregated approach to segment industrial markets under competitive structures taking the air-freight market for the high-technology product industry in Taiwan as a case study. Data from firms is used to examine the structure of the air freight industry and we find that carriers are clustered into two strategic groups, express and forwarder. Pricing is a leading strategy recognized by customers for forwarders, whereas service punctuality and freight security are the winning strategies for express. The high-tech freight market is classifiable by shipment destination and size.     

Does quality pay? The case of the dry bulk market

Following important changes in the safety regulation of tankers, the dry bulk sector is coming under the spotlight in a safety and quality perspective. Nominal freight differentiation between ‘quality’ and ‘other’ tonnage has been observed occasionally and much lip service has been paid to promoting the need for younger and safer ships. Whether or not these signals actually manifest in a market initiative for the enhancement of the standards of the world bulk carrier fleet is debatable. This paper investigates the possible existence of a two-tier spot freight market for medium and large bulk carriers of differing age. Known voyage fixtures are investigated for four representative years since the end of the 1980s, during which contrasting freight market conditions prevailed. In all but very few cases, there was no statistically significant difference between rates paid to older and younger tonnage. In those few cases where such differences were statistically significant, they never exceeded 10%.     

Intermodal containerized shipping in foreign trade and regional accessibility advantages

Intermodalism has become one of the most significant transformations of freight transportation in the United States over the past two decades. The coupling of shipping modes has enabled shippers to more fully realize the respective time and costs advantages of respective modes. The opportunity to take advantage of intermodalism when shipping manufactured goods overseas may provide an essential competitive edge to a company or to an entire region engaged in world commerce. The change in the freight accessibility map of the United States to foreign markets that can be ascribed to intermodal infrastructures and operations has so far not been studied. With the help of a geographic information system, this paper analyzes this transformation in the United States by mapping integral place accessibility measures of five-digit zip code areas with respect to gateways for export of manufactured goods, especially containerized freight. The performance of the intermodal freight network is evaluated by comparing accessibility measures based on the highway network and on the intermodal network, respectively, for all North American container ports, as well as for subgroups of container ports on the Eastern Seaboard, the Western Seaboard, and the Gulf Coast of North America. The paper discusses regional winners and losers in the new national freight transportation system.     

中国铁路货运市场占有率发展趋势分析

分析中国铁路货运的发展形势,建立关于铁路、公路货运量在全社会货运量中所占市场份额的差分方程组模型,运算后得出铁路货运在整个货运市场中的占有率趋向。通过利用历史统计数据计算,得到铁路货运市场占有率的一个数值解。