Asset Pricing in Created Markets

Posted: 26 Jul 2007

See all articles by Richard G. Newell

Richard G. Newell

Duke University - Nicholas School of Environment; National Bureau of Economic Research (NBER); Resources for the Future

Kerry L. Papps

Cornell University; IZA Institute of Labor Economics

James N. Sanchirico

University of California, Davis - Environmental Science and Policy; Resources for the Future; Motu Economic and Public Policy Research Trust

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.

Suggested Citation

Newell, Richard G. and Papps, Kerry L. and Sanchirico, James N., Asset Pricing in Created Markets. American Journal of Agricultural Economics, Vol. 89, No. 2, pp. 259-272, May 2007. Available at SSRN: https://ssrn.com/abstract=1002731 or http://dx.doi.org/10.1111/j.1467-8276.2007.01018.x

Richard G. Newell (Contact Author)

Duke University - Nicholas School of Environment ( email )

Box 90228
Durham, NC 27708-0328
United States
919-681-8865 (Phone)

National Bureau of Economic Research (NBER) ( email )

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Resources for the Future ( email )

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Kerry L. Papps

Cornell University ( email )

Ithaca, NY 14853
United States

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

James N. Sanchirico

University of California, Davis - Environmental Science and Policy ( email )

One Shields Avenue
Davis, CA 95616
United States
(530) 754-9883 (Phone)
(530) 752-3350 (Fax)

HOME PAGE: http://www.des.ucdavis.edu/faculty/Sanchirico.html

Resources for the Future ( email )

1616 P Street, NW
Washington, DC 20036
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Motu Economic and Public Policy Research Trust ( email )

Level 1, 93 Cuba Street
P.O. Box 24390
Wellington, 6142
New Zealand

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