Investors’ behavior and dynamics of ship prices: A heterogeneous agent model

Amir H. Alizadeh, Helen Thanopoulou, Tsz Leung Yip

Research output: Journal article publicationJournal articleAcademic researchpeer-review

10 Citations (Scopus)

Abstract

The results suggest that momentum strategies based on short-term measures of earnings perform significantly better than the contrarian or passive (buy-and-hold) strategies. The HAM seems to capture the dynamics of vessel prices and the investors’ behavior in the market for ships very well. Finally, an increase in participation of momentum investors tends to increase price volatility, whereas higher demand from contrarian investors seems to lower price variability.
Original languageEnglish
Pages (from-to)98-114
Number of pages17
JournalTransportation Research Part E: Logistics and Transportation Review
Volume106
DOIs
Publication statusPublished - 1 Oct 2017

Keywords

  • Heterogeneous agent model
  • Investor behavior
  • Momentum and contrarian strategies
  • Shipping investment

ASJC Scopus subject areas

  • Business and International Management
  • Civil and Structural Engineering
  • Transportation

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