Navigating Risk in the US Transport Industry: Insights from a CAPM-Based ARDL Approach

This study assesses the systematic risk of 45 publicly listed U.S. transportation companies using the CAPM framework, grouping them into five categories. We apply the ARDL technique, which provides dual risk insights—short-term and long-term. This method reduces endogeneity concerns, as each variable is modeled through a single-equation approach. The transportation sector plays a crucial role in the U.S. economy, accounting for up to 10% of GDP, with the logistics market approaching $2 trillion in 2019. Our analysis shows that long-run (LR) investments are less sensitive to market fluctuations and tend to be more profitable, whereas short-run (SR) investments are more exposed to market volatility but can be offset by long-run recoveries. The study provides useful guidelines for equity investments in the transportation sector, underscoring its potential for substantial returns despite its cyclical nature. Measuring systematic risk is thus essential for making informed investment decisions in this field.