Theoretical vessel valuation and asset play in bulk shipping

This thesis consists of two related parts. The first part develops non-parametric freight rate and scrap value models for the product tanker market. Monte Carlo simulations are used to calculate the value of the vessel as the present value of future cash flow and perform sensitivity analysis with respect to input parameters such as vessel age, freight rate volatility, and scrap price. The second part investigates the performance of technical trading rules for the purpose of asset play in the product tanker market. The rules are tested on monthly returns in the product tanker segment for the period 1981 to 1998. A total of 1053 different parameterizations are evaluated, comprising three of the simplest and most popular trading rules in the financial markets: filter rules, moving averages, and support and resistance levels. Overall, the results provide strong support for the technical strategies. The best-performing trading rule obtains a mean return of 35.4% p.a. above the buy-and-hold annual return of 4.0%. However, the practical implementation in an illiquid market may reduce the theoretical excess return of the best-performing trading rule to a level where it is no longer significant. Moreover, the probability that an investor could have picked, ex ante, a trading rule with statistically significant excess return is small.

Department dc:contributor.department

Massachusetts Institute of Technology. Dept. of Ocean Engineering.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2000

Author dc:creator

• Adland, Roar Os, 1972-

Advisor dc:contributor.advisor

• Henry S. Marcus.

• Ocean Engineering.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/8739

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/8739