(Translated by https://www.hiragana.jp/)
Asset Pricing in Created Markets for Fishing Quotas
IDEAS home Printed from https://ideas.repec.org/p/ags/rffdps/10639.html
   My bibliography  Save this paper

Asset Pricing in Created Markets for Fishing Quotas

Author

Listed:
  • Newell, Richard G.
  • Papps, Kerry L.
  • Sanchirico, James N.

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 fishing quota market. In addition to the influence of current fishing rents (as measured by lease prices), we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. Controlling for these other factors, the results support a fairly simple relationship between quota asset and contemporaneous lease prices. Consistent with theoretical expectations, 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. However, the magnitude of some interrelationships is muted relative to what theory suggests, possibly due to measurement error.

Suggested Citation

  • Newell, Richard G. & Papps, Kerry L. & Sanchirico, James N., 2005. "Asset Pricing in Created Markets for Fishing Quotas," Discussion Papers 10639, Resources for the Future.
    • Handle: RePEc:ags:rffdps:10639
    DOI: 10.22004/ag.econ.10639
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/10639/files/dp050046.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.10639?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Wilson, Norbert L.W. & Sumner, Daniel A., 2004. "Explaining Variations in the Price of Dairy Quota: Flow Returns, Liquidity, Quota Characteristics, and Policy Risk," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(1), pages 1-16, April.
    2. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
    3. Batstone, C J & Sharp, B M H, 1999. "New Zealand's quota management system: the first ten years," Marine Policy, Elsevier, vol. 23(2), pages 177-190, March.
    4. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    5. Richard E. Just & John A. Miranowski, 1993. "Understanding Farmland Price Changes," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(1), pages 156-168.
    6. Newell, Richard G. & Sanchirico, James N. & Kerr, Suzi, 2005. "Fishing quota markets," Journal of Environmental Economics and Management, Elsevier, vol. 49(3), pages 437-462, May.
    7. repec:cdl:ucsbec:13-89 is not listed on IDEAS
    8. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    9. Bruce McGough & Andrew J. Plantinga & Bill Provencher, 2004. "The Dynamic Behavior of Efficient Timber Prices," Land Economics, University of Wisconsin Press, vol. 80(1), pages 95-108.
    10. Anindya Banerjee, 1999. "Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 607-629, November.
    11. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    12. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-280.
    13. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
    14. Batstone, C. J. & Sharp, B. M. H., 2003. "Minimum information management systems and ITQ fisheries management," Journal of Environmental Economics and Management, Elsevier, vol. 45(2, Supple), pages 492-504, March.
    15. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-137, March.
    16. Orazem, Peter & Miranowski, John, 1986. "An Indirect Test for the Specification of Expectation Regimes," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 603-609, November.
    17. Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.
    18. Oscar R. Burt, 1986. "Econometric Modeling of the Capitalization Formula for Farmland Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 10-26.
    19. Karpoff, Jonathan M, 1985. "Non-pecuniary Benefits in Commercial Fishing: Empirical Findings from the Alaska Salmon Fisheries," Economic Inquiry, Western Economic Association International, vol. 23(1), pages 159-174, January.
    20. Julian M. Alston, 1986. "An Analysis of Growth of U.S. Farmland Prices, 1963–82," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 1-9.
    21. Barry Falk, 1991. "Formally Testing the Present Value Model of Farmland Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(1), pages 1-10.
    22. Peter J. Barry, 1980. "Capital Asset Pricing and Farm Real Estate," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 62(3), pages 549-553.
    23. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    24. Pesando, James E, 1993. "Art as an Investment: The Market for Modern Prints," American Economic Review, American Economic Association, vol. 83(5), pages 1075-1089, December.
    25. Fabian BORNHORST, 2003. "On the use of panel unit root tests on cross-sectionally dependent data: an application to PPP," Economics Working Papers ECO2003/24, European University Institute.
    26. Lindon J. Robison & David A. Lins & Ravi VenKataraman, 1985. "Cash Rents and Land Values in U.S. Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(4), pages 794-805.
    27. Roll, Richard, 1984. "Orange Juice and Weather," American Economic Review, American Economic Association, vol. 74(5), pages 861-880, December.
    28. Haim Shalit & Andrew Schmitz, 1982. "Farmland Accumulation and Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(4), pages 710-719.
    29. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    30. Ragnar Arnason, 1990. "Minimum Information Management in Fisheries," Canadian Journal of Economics, Canadian Economics Association, vol. 23(3), pages 630-653, August.
    31. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    32. Emanuel Melichar, 1979. "Capital Gains versus Current Income in the Farming Sector," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(5), pages 1085-1092.
    33. G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
    34. repec:bla:obuest:v:61:y:1999:i:0:p:607-29 is not listed on IDEAS
    35. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    36. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    37. J. Stephen Clark & Murray Fulton & John T. Scott, 1993. "The Inconsistency of Land Values, Land Rents, and Capitalization Formulas," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(1), pages 147-155.
    38. repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS
    39. Falk, Barry L., 1991. "Formally Testing the Present Value Model of Farmland Prices," Staff General Research Papers Archive 11093, Iowa State University, Department of Economics.
    40. Balestra, Pietro & Varadharajan-Krishnakumar, Jayalakshmi, 1987. "Full Information Estimations of a System of Simultaneous Equations with Error Component Structure," Econometric Theory, Cambridge University Press, vol. 3(2), pages 223-246, April.
    41. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Estelle Cantillon & Aurélie Slechten, 2023. "Market Design for the Environment," NBER Chapters, in: New Directions in Market Design, National Bureau of Economic Research, Inc.
    2. Aaron Hatcher, 2022. "A Model of Quota Prices in a Multispecies Fishery with “Choke” Species and Discarding," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 82(4), pages 825-846, August.
    3. Rickard, Amelia & Wagner, Jeffrey & Schull, Jonathan, 2017. "Observations on the technology and economics of digital emissions," Technology in Society, Elsevier, vol. 48(C), pages 28-32.
    4. Kastoryano, Stephen & Vollaard, Ben, 2022. "Nautical Patrol and Illegal Fishing Practices," Other publications TiSEM c02852eb-237c-4c6b-af7c-9, Tilburg University, School of Economics and Management.
    5. McDermott, Shana M. & Finnoff, David C. & Shogren, Jason F. & Kennedy, Chris J., 2021. "When does natural science uncertainty translate into economic uncertainty?," Ecological Economics, Elsevier, vol. 184(C).
    6. repec:ags:aaea22:335749 is not listed on IDEAS
    7. Alan Randall, 2021. "Resource Scarcity and Sustainability—The Shapes Have Shifted but the Stakes Keep Rising," Sustainability, MDPI, vol. 13(10), pages 1-16, May.
    8. Kastoryano, Stephen & Vollaard, Ben, 2023. "Unseen annihilation: Illegal fishing practices and nautical patrol," Journal of Environmental Economics and Management, Elsevier, vol. 122(C).
    9. Byrne, Conor & Oostdijk, Maartje & Agnarsson, Sveinn & Davidsdottir, Brynhildur, 2024. "The Transitional Gains Trap in Grandfathered Individual Transferable Quota Fisheries," Ecological Economics, Elsevier, vol. 215(C).
    10. Guo, Xinyu & Kedagni, Desire & Weninger, Quinn, 2021. "Capacity coordination and strategic underproduction under cap-and-trade," ISU General Staff Papers 202112212129530000, Iowa State University, Department of Economics.
    11. Kastoryano, Stephen & Vollaard, Ben, 2022. "Nautical Patrol and Illegal Fishing Practices," Other publications TiSEM c02852eb-237c-4c6b-af7c-9, Tilburg University, School of Economics and Management.
    12. Richard T. Woodward & Amanda Stronza & Elizabeth Shapiro‐Garza & Lee A. Fitzgerald, 2014. "Market‐based conservation: Aligning static theory with dynamic systems," Natural Resources Forum, Blackwell Publishing, vol. 38(4), pages 235-247, November.
    13. Philippe Bontems & Celine Nauges, 2019. "Production choices with water markets and risk aversion: the role of initial allocations and forward trading," Post-Print hal-02349932, HAL.
    14. Alisher Tleubayev & Tinoush Jamali Jaghdani & Linde Gotz & Miranda Svanidze, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," Journal of New Economy, Ural State University of Economics, vol. 22(3), pages 44-68, October.
    15. Jeffrey Wielgus & Monica Grasso & Charles Colgan & Jennifer Zhuang & Sarah Siegel & Joseph Conran & Tadesse Wodajo, 2024. "Natural Capital Considerations for an Extension of the US Marine Economy Satellite Account," NBER Chapters, in: Measuring and Accounting for Environmental Public Goods: A National Accounts Perspective, National Bureau of Economic Research, Inc.
    16. Reimer, Matthew N. & Abbott, Joshua K. & Haynie, Alan C., 2022. "Structural behavioral models for rights-based fisheries," Resource and Energy Economics, Elsevier, vol. 68(C).
    17. Tleubayev, Alisher & Jamali Jaghdani, Tinoush & Götz, Linde & Svanidze, Miranda, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 22(3), pages 44-68.
    18. Asproudis, Elias & Filippiadis, Eleftherios, 2021. "Bargaining for Community Fishing Quotas," MPRA Paper 107409, University Library of Munich, Germany.
    19. Mani Rouhi Rad & Taro Mieno & Nicholas Brozović, 2022. "The Role of Search Frictions and Trading Ratios in Tradable Permit Markets," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 82(1), pages 101-132, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Richard G. Newell & Kerry L. Papps & James N. Sanchirico, 2007. "Asset Pricing in Created Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(2), pages 259-272.
    2. Laure Latruffe & Chantal Le Mouël, 2009. "Capitalization Of Government Support In Agricultural Land Prices: What Do We Know?," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 659-691, September.
    3. Newell, Richard G. & Sanchirico, James N. & Kerr, Suzi, 2005. "Fishing quota markets," Journal of Environmental Economics and Management, Elsevier, vol. 49(3), pages 437-462, May.
    4. B. James Deaton & Chad Lawley, 2022. "A survey of literature examining farmland prices: A Canadian focus," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 70(2), pages 95-121, June.
    5. Li, Xin, 2016. "The Farmland Valuation Revisited," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 4(2), pages 1-14, April.
    6. Albulena Basha & Wendong Zhang & Chad Hart, 2021. "The impacts of interest rate changes on US Midwest farmland values," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 81(5), pages 746-766, February.
    7. Mishra, Ashok K. & Moss, Charles B. & Erickson, Kenneth W., 2004. "Effect Of Debt Solvency On Farmland Values: A Panel Cointegration Approach," 2004 Annual meeting, August 1-4, Denver, CO 20261, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Hanson, Steven D. & Myers, Robert J., 1995. "Testing for a time-varying risk premiumin the returns to U.S. farmland," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 265-276, September.
    9. Christos Alexakis & Theophano Patra & Sunil Poshakwale, 2010. "Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1321-1326.
    10. Masso, Jaan & Staehr, Karsten, 2005. "Inflation dynamics and nominal adjustment in the Baltic States," Research in International Business and Finance, Elsevier, vol. 19(2), pages 281-303, June.
    11. Österholm, Pär, 2004. "Estimating the Relationship between Age Structure and GDP in the OECD Using Panel Cointegration Methods," Working Paper Series 2004:13, Uppsala University, Department of Economics.
    12. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
    13. Sung, Bongsuk, 2015. "Public policy supports and export performance of bioenergy technologies: A dynamic panel approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 42(C), pages 477-495.
    14. Weerahewa, Jeevika & Meilke, Karl D. & Vyn, Richard J. & Haq, Zahoor Ul, 2008. "The Determinants of Farmland Values in Canada," Working Papers 43461, Canadian Agricultural Trade Policy Research Network.
    15. Maria Elena Bontempi & Roberto Golinelli, 2012. "The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1733-1751, November.
    16. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
    17. José Abraham López Machuca & Jorge Eduardo Mendoza Cota, 2017. "Salarios, desempleo y productividad laboral en la industria manufacturera mexicana. (Wage, Unemployment and Labor Productivity in the Mexican Manufacturing Industry)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 185-228, October.
    18. Polemis, Michail & Fotis, Panagiotis, 2011. "Gasoline price asymmetries in the Euro Zone," MPRA Paper 32755, University Library of Munich, Germany.
    19. Carlberg, Jared G., 2002. "Effects Of Ownership Restrictions On Farmland Values In Saskatchewan," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 34(2), pages 1-10, August.
    20. Apergis, Nicholas & Payne, James E., 2011. "The renewable energy consumption-growth nexus in Central America," Applied Energy, Elsevier, vol. 88(1), pages 343-347, January.

    More about this item

    Keywords

    Resource /Energy Economics and Policy;

    JEL classification:

    • Q22 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Fishery
    • Q28 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Government Policy
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:rffdps:10639. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/rffffus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.