Factors Affecting the Dynamics of Yield Premia on Shipping Seasoned High Yield Bonds

Transportation Research Part E: Logistics and Transportation Review, Vol. 43, No. 5, p. 549-564, 2007

Posted: 14 Nov 2007 Last revised: 2 Oct 2011

See all articles by Costas Th. Grammenos

Costas Th. Grammenos

City University London - The Business School

Amir H. Alizadeh

City University London - The Business School

Nikos C. Papapostolou

Cass Business School, City, University of London

Date Written: October 1, 2011

Abstract

This paper investigates factors that can explain the dynamics of yield premia on seasoned high yield bonds of shipping companies. Our analysis utilises 40 seasoned high yield bonds offered by 32 shipping companies between April 1998 and December 2002 and a set of microeconomic, macroeconomic and, industry related factors. Our model suggests that the dynamics of credit premia of seasoned shipping high yield bonds can be explained by: credit rating; term-to-maturity; changes in earnings in the shipping market, as well as in the yield on 10-year Treasury bonds; and the yield on the Merrill Lynch single-B index.

Keywords: High Yield Bonds, Shipping Market, Panel Data

Suggested Citation

Grammenos, Costas Th. and Alizadeh, Amir H. and Papapostolou, Nikos C., Factors Affecting the Dynamics of Yield Premia on Shipping Seasoned High Yield Bonds (October 1, 2011). Transportation Research Part E: Logistics and Transportation Review, Vol. 43, No. 5, p. 549-564, 2007, Available at SSRN: https://ssrn.com/abstract=1030044

Costas Th. Grammenos

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Amir H. Alizadeh

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Nikos C. Papapostolou (Contact Author)

Cass Business School, City, University of London ( email )

Faculty of Finance
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0) 207 040 8620 (Phone)
+44 (0) 207 040 8681 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/experts/N.Papapostolou

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