Hedging ship price risk using freight derivatives in the drybulk market

Journal of Shipping and Trade

Table 4 Hedge ratio and efficiency across vessel age

	5-year	10-year	15-year	20-year
FFA hedge ratio	0.557^*** (51.80)	0.667^*** (55.22)	0.721^*** (54.98)	0.594^*** (33.16)
Constant	−0.090^*** (−13.58)	−0.099^*** (− 13.29)	− 0.110^*** (− 13.39)	− 0.085^*** (− 7.72)
No. obs.	574	574	574	574
Hedging efficiency (R²)	0.824	0.842	0.841	0.658
F	2682.8	3049.0	3022.7	1099.8
Breusch-Godfrey	466.42 [0.00]	451.36 [0.00]	449.60 [0.00]	521.75 [0.00]
White test	26.21 [0.00]	21.99 [0.00]	71.51 [0.00]	141.95 [0.00]

P-values in [] and standard errors in (). ***indicate significance at the 1%, 5% and 10% level, respectively. Standard errors are corrected for serial correlation and heteroskedasticity using Newey and West (1987) method. The F-test is a measure of the goodness of fit when comparing models. The Breusch–Godfrey serial correlation LM test is a test for autocorrelation in the errors in a regression model. The White test establishes whether the errors are homoscedastic