Assessment of investment decision in the dry bulk shipping market based on real options thinking and the shipping cycle perspective

As the dry bulk shipping market seems to have been stuck in a trough period for a long time, investors need to pay more attention to their investment strategies to survive during this period. This study aimed to find a suitable model to assess dry bulk ship investment decisions in the tough and peak periods based on real options theories. Two options, involving an abandonment option and a deferrable option, were used to define investors’ responses to the uncertainty in investment processes such as stopping or selling vessels. The option valuation was solved by using a binomial valuation model, due to data limitations. In accordance with shipping cycle theories, different volatility parameters for the tough and peak periods were calculated using a generalized autoregressive conditional heteroskedasticity (GARCH) model. The application of the real options model to a case study involving secondhand ship trading indicated its viability. According to the results of the case study, the new model has advantages over the traditional net present value (NPV) method in uncertain investment environments. Thus, the results demonstrate that the real options model is a more suitable method for use in the current dry bulk shipping market.     

Valuation of VLCCs under income uncertainty

In this paper two alternative ways of modelling the stochastic nature of the time charter equivalent spot rate in the market for Very Large Crude Carriers (VLCC) are presented. It has been proposed that the freight rate follows an Ornstein-Uhlenbeck process. We follow up this approach of relating uncertainty directly to the rate process itself by suggesting a geometric mean reversion process. Empirical findings are presented. Then we address the question of valuing a VLCC. Due to the presence of uncertainty, flexibility to choose operation policy influences the value. We focus on lay up and scrapping as alternatives to spot operation. The option to lay up is relatively more important for a new vessel than for an old one, whereas the option to scrap becomes relatively more valuable as the vessel gets older.     

论光船租赁权的物权性质

租赁合同在当事人之间既产生债权法律关系,又产生物权法律关系。租赁权的法律性质应当是用益物权性质。光船租赁中的承租人具有船舶所有人的某些权能,其光船租赁权属于自物权。     

Spatial efficiency in the bulk freight market

In the short run, there can be substantial differences in spot freight earnings between geographical regions of the global freight market for bulk carriers. Such differences can be consistent with an efficient market if they are temporary and if they cannot be exploited financially by pursuing chartering strategies that are based on publicly available information. In this paper, we apply a simple optimal switching model to evaluate whether such chartering strategies exist. We model the spot freight rate differential between the Atlantic and Pacific basins as a mean-reverting Ornstein–Uhlenbeck process and the entry–exit decision using the discount factor approach, which results in optimal trigger values for the entry/exit from each basin. Our empirical results suggest that the market is spatially efficient during normal freight market conditions when there is a surplus of vessels. The tight market conditions during the 2003–2008 freight market boom caused a persistent upward bias in Atlantic freight rates, but also here we find little added value from pursuing an active switching strategy.     

Eastern/Western European shipping companies and multimodal transport operations

The purpose of this article is to discuss the current developments in multimodal cargo flows in North European freight transports from Eastern and Western European shipping companies' point of view. Four types of options were identified for shipping companies in multimodal transport operations, namely: (i) the full service operator option, (ii) the feeder operator option in container trades, (iii) the ro-ro operator option, and (iv) the ferry operator option. Option (i) requires a global transport network together with efficient information handling capabilities. This option can be reached by a limited number of mega-carriers. The scope of investment and know-how in this option is such that Eastern European operators are unlikely to achieve this level. In (ii), fleets from (or registered in) the former socialist countries have an advantage as low cost operators, provided that the quality of the operation conforms to principals' requirements. However, the supply side in the intra-European container feeder trades seems to be quite saturated, and new market shares will be very difficult to acquire in the 1990s. In ro-ro shortsea trades the major freight transport operators are well integrated into either freight forwarder driven arrangements (Sweden, Germany), or into major shippers (Finland). As providers of port-to-port transports for road-based cargoes, ferry operators continue to play an important part in international transports. However, the major incentive (and revenue) for passenger/car ferry operations is usually derived from consumers' vacational or travelling needs. Along with the ongoing transition process and a higher level of economic stability that is hopefully achieved in these countries, mergers and acquisitions by Western partners are likely to follow.     

-statistic is the ratio between a normal (0,1) distributed variable and the square root of a centrally distributed chi-square variable divided by its expected value, i.e., its degree of freedom.

This paper evaluates empirically some very common theories of the freight rate generating process in the time charter markets. After a review of the most common assumptions made of the way time charter rates are set, the hypotheses are identified as follows: (a) the Zannetos Hypothesis, (b), the Lagged Zannetos Hypothesis, (c) the Koyck Lag Hypothesis, (d) the Rational Expectation Hypothesis, and (e) the Conventional Wisdom Hypothesis. These hypotheses are tested using statistical cointegration analysis that includes both an Augmented Dickey-Fuller (ADF), and a Johansen likelihood ratio test. Confronted with the data, hypotheses (a) and (b) are rejected outrightly. In the Koyck Lag case, the ADF statistic seem to confirm the hypothesis. A closer look at the numbers reveals that all of the impact on the time charter rates comes from the lagged dependent variable. Hence, the Koyck Lag Hypothesis is rejected. In the Rational Expectation case, the two tests conflicted. Based on the fact that the Rational Expectation Hypothesis includes the lagged dependent variable and that the Johansen test has been found to be a more robust test than the ADF test, the Rational Expectation Hypothesis is rejected. The fifth hypothesis is a reflection of the general bulk industry perception that the time charter rate is impacted by changes in the comparable spot rate and not much by the spot rate levels. In this case both the ADF and the Johansen test accepted the hypothesis for all markets. Thus, the paper concludes that the conventional market explanation of the time charter freight rate setting process is essentially correct-spot rate changes matter spot rate levels do not.     

定期租船合同中租金的确定

船舶营运中,船舶经营人以期租方式将船租给承运人时,运价的确定是租船合同中一项重要的内容。从船舶经营人的角度出发,通过分析船舶营运成本,将上述复杂的计算编制成简明的EXCEL计算程序,以期对船舶经营人有所裨益。     

Methodology for ro-ro ship and fleet sizing with application to short sea shipping

A novel methodology is developed for determining the characteristics of a cargo roll-on/roll-off (ro-ro) ship and the fleet size required for a given short sea shipping route. The ship and required fleet size to satisfy the transportation demand (for each pair of speed and freight rate) are determined using a database of existing cargo ro-ro ships to obtain the main technical characteristics of the most suitable ship. The time charter, voyage costs and revenue are then calculated considering the technical characteristics of each ship. Fuel costs are corrected for the actual ship speed and loading condition. A number of restrictions in the transportation problem are considered leading to the exclusion of unfeasible solutions. The maximum profit over the period of a year is identified among the feasible pairs of speed and freight rate. This general methodology is applied in a case study that considers the route between Leixões (Portugal) and Rotterdam (Netherlands). The study allows the identification of the most suitable ship and fleet sizes for different market penetration levels and quantifies the impact on shipping company profit of changes in parameters such as fuel costs, time charter costs, emission control area, installed propulsion power and stacking factor.     

必要费率在经济船型论证和方案比选中的应用

必要费率是港口工程多方案项目经济比选方法之一。本文通过经济船型论证,介绍了必要运费率的计算过程,进而计算出综合必要费率并进行方案经济比选,从经济角度方面推荐合理的建设方案。     

航运企业如何运用期货来避免市场风险

从航运市场的价格波动会给船东及货主带来经营中的不确定性入手,分析了运费期货市场。并通过典型案例论证了船东及货主都能利用BIFFEX的期货交易,或锁定运费收入,或锁定运费支出,从而达到规避运价风险的目的。     

Effect of risk preference on the valuation of time charter contracts with extension options

ABSTRACT

The literature on valuation of time charter contracts and real options in shipping generally relies on the complete markets hypothesis and the risk-neutrality of agents. However, these assumptions fail completely in some shipping market segments. This study proposes a numerical approach—based on discounting the certainty equivalent payoff at the risk-free rate—which incorporates the agent’s risk preferences through an exponential utility function. The method comprises an iterative Monte Carlo nested simulation with the real probability measure. This method is applied to a case of Suezmax tankers. The stochastic evolution of the time charter rates is modelled as a geometric mean-reverting process. The case study supports the applicability of the proposed method and evidences that the effect of risk preference may be significant, mainly for more risk-averse agents. Although the method involves intensive computation, it has the benefits of theoretical ease and flexibility, which could encourage utilisation by practitioners.     

Market efficiency in the bulk freight market revisited

Given that the freight rate is the price of a transportation service that cannot be traded or stored; the traditional form of the efficient market hypothesis (EMH) does not apply to the freight rate price process. However, the notion of market efficiency still applies in the freight market. In particular, under the hypothesis that the market is semi-strong-form efficient, it should not be possible to make excess profit by taking chartering positions in the freight market based on public information such as past levels of the spot freight rate or the shape of the term structure of freight rates. This paper contributes to the literature by proposing an alternative test of market efficiency in the bulk freight market. We utilize technical analysis based on the history of spot freight rates and investigate the profitability of such chartering strategies for a tanker operator. The chartering decisions are based on identification of the peaks and troughs in the freight market cycles using kernel smoothing of the spot freight rate history. The empirical results suggest that a large tanker operator (e.g. a pool) could have achieved significant profits without investing in ships by trading on such information, although this does not hold in the most recent subset of the sample.     

实物期权在航运企业船舶投资决策中的应用

航运业是一个具有特殊风险的行业,然而传统的船舶投资决策却总是忽略不确定性对投资价值的影响。将实物期权运用到航运企业船舶投资决策中,运用布莱克-舒尔斯的期权定价公式,得出含有实物期权的投资价值和一般的投资价值,定量地分析了不确定性对投资价值的影响,使船舶投资价值与决策相一致,最终使航运企业获得最大的投资收益。     

Valuing cargo flexibility in oil transportation

The seaborne oil transportation market is served by two main types of vessels—crude oil tankers and product tankers. Product tankers are designed to move refined oil products, yet they can also opportunistically carry ‘dirty’ products such as crude and heavy fuel oil, subject to the cost of tank cleaning when re-entering the clean products trade. We apply an entry-exit real option model with a stochastic freight rate differential to derive optimal triggers for switching between the two cargo types and estimate the value of the switching option. We show that the value of active switching has grown over time, and generally exceeds the additional construction cost of a product tanker. Our findings are important both from a practical point of view and for our understanding of market integration in the tanker freight market. Specifically, shipowners can use our model as a basis for optimizing chartering policy for clean product tankers. We also show that there are periods where the dirty market is persistently stronger, and discuss the possible reasons for such apparent inefficiencies.     

Are there bubbles in the shipping freight market?

ABSTRACT

This paper addresses the reconsideration of price bubbles specific to the shipping freight market based on the method of the Generalized Supremum Augmented Dickey–Fuller (GSADF). This approach offers the opportunity to recognize multiple bubbles and set their corresponding original and final dates. Empirical results reveal that four bubbles existed in the shipping freight market between October 1988 and February 2018 in which freight deviated from fundamental values. Strong demand (especially in China), the supply capacity, crude oil prices and U.S. dollar fluctuations are potential explanations for the first three bubbles. The global financial crisis that burst in 2008 is the major factor results in the last bubble. Hence, we must distinguish the potential reasons of bubbles in different periods and take measures such as promoting economic multipolarization, strengthening the bargaining power of China, building an effective information transfer system, employing financial derivatives and accelerating the consolidation of the shipping industry to alleviate the negative influences on global seaborne trade.     

我国国际货运代理责任保险探讨

近年来,随着国家经济和对外贸易的迅速增长,国际货运代理业在市场竞争中得到迅速发展。国际货运代理市场的全面对外开放给国际货运代理业带来了发展的机遇,但随之而来的是激烈的竞争和难以预测的风险。国际货运代理责任保险制度作为防范和规避国际货运代理风险和责任的有效制度在西方发达国家已极度盛行,而在我国却甚少有人问津。因此,本文从国际货运代理和责任保险的基本概念出发,联系我国国际货运代理责任保险的现状,对国际货运代理责任保险制度在我国的设立作了简单的论述。     

Recreational Leasing of Alaska Commercial Halibut Quota: The Early Years of the GAF Program in Alaska

The Pacific Halibut Catch Sharing Plan formalized the process for allocating halibut between the Alaska commercial and recreational charter sectors. It included a new program intended to allow for “flexibility” through inter-sectoral trading, permitting charter operators to lease commercial halibut pounds to relax client harvest restrictions. Here we evaluate the first two years of lease market activity and participation. Participation from some commercial quota holders in the lease market suggests that the program provided beneficial flexibility; in fact, the number of transfers to the charter sector was greater than transfers within the commercial sector for some quota types. We also identified a high proportion of self-leasers. However, transfers to the charter sector were on average smaller than within-sector commercial transfers, and total poundage leased by the charter sector was low compared with commercial transfers. Usage of leased quota by the recreational charter sector enables the harvest of larger fish or additional fish, and provides flexibility in catch composition on halibut closure days. Finally, the value-per-pound may be higher in the charter sector, as commercial-to-charter transfer prices approached the commercial ex-vessel price.     

A new perspective on price dynamics of the dry bulk market

The main result of this article is that freight rates and second hand prices in the dry bulk market seem to be stationary. By unit-root tests, an established tool for testing for random walk in economic time series, the random walk hypothesis can be rejected in most cases for the freight rate samples. This result is in contrast to the findings of a number of papers during the 1990s. However, the results confirm classical shipping market models that indicate stationarity in freight rates, which is not the case if the freight rates follow a random walk. By transforming all observations from US$ to Japanese yen detrended freight rates and prices seem to become stationary and volatility is reduced.     

A new perspective on price dynamics of the dry bulk market

The main result of this article is that freight rates and second hand prices in the dry bulk market seem to be stationary. By unit-root tests, an established tool for testing for random walk in economic time series, the random walk hypothesis can be rejected in most cases for the freight rate samples. This result is in contrast to the findings of a number of papers during the 1990s. However, the results confirm classical shipping market models that indicate stationarity in freight rates, which is not the case if the freight rates follow a random walk. By transforming all observations from US$ to Japanese yen detrended freight rates and prices seem to become stationary and volatility is reduced.     

硫酸盐还原菌对高桩码头抗震设计的影响

国际上高震区高桩梁板码头抗震设计往往采用基于位移的抗震设计方法,且采用钢管桩结构较多,而硫酸盐还原菌(SRB)能在极短时间内对钢管桩造成严重的腐蚀,危害极大。针对SRB的腐蚀机理,提出3种主要防护措施,并对物理防护法的3种不同工程应用方案进行对比研究。结合菲律宾马尼拉某集装箱码头工程设计,采用控制变量法,对3个方案分别进行push-over推覆分析求解。计算结果表明,覆盖层保护法及钢管桩泥面处局部填充混凝土法的结构抗力较大且结构延性较好。对类似工程环境的码头结构设计具有借鉴意义。