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The determinants of credit spreads changes in global shipping bonds.
Kavussanos, M.G. Tsouknidis, Dimitris A.
Kavussanos, M.G.
Tsouknidis, Dimitris A.
Publication Date
2014
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© 2014 Elsevier. This is the author’s version of a work that was accepted for publication in Transportation Research Part E. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Transportation Research Part E: Logistics and Transportation Review, 70 (October): 55-75. http://dx.doi.org/10.1016/j.tre.2014.06.001
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Abstract
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 clusteradjusted
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.
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Accepted manuscript
Citation
Kavussanos, M. G. and Tsouknidis, D. A. (2014) The determinants of credit spreads changes in global shipping bonds. Transportation Research Part E: Logistics and Transportation Review, 70 (October): 55–75.
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