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Trading strategies in the market for tankers

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This paper introduces a new approach in timing the sale and purchase of ships in the tanker market and examines the performance of this trading strategy over the period January 1976 to September 2004. Based on the long-run cointegration relationship between earnings and price, we establish a trading model which can be used as an indicator of investment or divestment timing decisions. We also perform statistical tests using the bootstrap approach in order to discount the possibility of data snooping biases and test the robustness of our trading models. Our results indicate that trading strategies based on earning-price ratios significantly out-perform buy and hold strategies in the tanker market.

Document Type: Research Article


Affiliations: Faculty of Finance, Cass Business School, London, UK

Publication date: May 1, 2006

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