Asset pricing in created markets

Richard G Newell; Kerry L Papps; James N Sanchirico

doi:10.1111/j.1467-8276.2007.01018.x

Asset pricing in created markets

Richard G Newell, Kerry L Papps, James N Sanchirico

Department of Economics

Research output: Contribution to journal › Article › peer-review

23 Citations (SciVal)

Abstract

We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system.

Original language	English
Pages (from-to)	259-272
Number of pages	14
Journal	American Journal of Agricultural Economics
Volume	89
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-8276.2007.01018.x
Publication status	Published - May 2007

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title = "Asset pricing in created markets",

abstract = "We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system.",

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AU - Papps, Kerry L

AU - Sanchirico, James N

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AB - We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system.

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JO - American Journal of Agricultural Economics

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ER -

Asset pricing in created markets

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