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

Amir H. Alizadeh; Helen Thanopoulou; Tsz Leung Yip

doi:10.1016/j.tre.2017.07.012

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

Amir H. Alizadeh, Helen Thanopoulou, Tsz Leung Yip

Research output: Journal article publication › Journal article › Academic research › peer-review

20 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 language	English
Pages (from-to)	98-114
Number of pages	17
Journal	Transportation Research Part E: Logistics and Transportation Review
Volume	106
DOIs	https://doi.org/10.1016/j.tre.2017.07.012
Publication status	Published - 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

More information

10.1016/j.tre.2017.07.012

Cite this

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KW - Momentum and contrarian strategies

KW - Shipping investment

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DO - 10.1016/j.tre.2017.07.012

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

More information

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