Asset pricing in created markets

被引：23

作者：

Newell, Richard G. ^{[1
]}

Papps, Kerry L. ^{[1
]}

Sanchirico, James N. ^{[1
]}

机构：

[1] Duke Univ, Nicholas Sch Environm & Earth Sci, Durham, NC 27708 USA

来源：

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 2007年 / 89卷 / 02期

关键词：

asset pricing; fishery management; tradable permits;

D O I：

10.1111/j.1467-8276.2007.01018.x

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

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.

引用

页码：259 / 272

页数：14

共 50 条

[21] Microstructure and asset pricing: An insight on African frontier stock markets
Hikouatcha, Prince
Kengdo, Arsene Aurelien Njamen
Menik, Hans Patrick Bidias
Tioyem, Pierre Ghislain Tchoffo
Nchofoung, Tii Njivukuh
BULLETIN OF ECONOMIC RESEARCH, 2023, 75 (04) : 944 - 987
[22] Intelligence in Markets: Asset Pricing, Mechanism Design, and Natural Computation
Seiffertt, John
Wunsch, Donald
IEEE COMPUTATIONAL INTELLIGENCE MAGAZINE, 2008, 3 (04) : 27 - +
[23] Evaluating the effects of incomplete markets on risk sharing and asset pricing
Heaton, J
Lucas, DJ
JOURNAL OF POLITICAL ECONOMY, 1996, 104 (03) : 443 - 487
[24] Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria
Munari, Cosimo
FINANCE AND STOCHASTICS, 2023, 27 (03) : 831 - 862
[25] IMPLICATIONS TO ACCOUNTING OF EFFICIENT MARKETS AND CAPITAL ASSET PRICING MODEL
BIERMAN, H
ACCOUNTING REVIEW, 1974, 49 (03): : 557 - 562
[26] Common asset pricing factors in volatilities and returns in futures markets
Siddique, AR
JOURNAL OF BANKING & FINANCE, 2003, 27 (12) : 2347 - 2368
[27] Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Maria Arduca
Cosimo Munari
Finance and Stochastics, 2023, 27 : 831 - 862
[28] Asset Pricing with Cohort-Based Trading in MBS Markets
Fusari, Nicola
Li, Wei
Liu, Haoyang
Song, Zhaogang
JOURNAL OF FINANCE, 2022, 77 (06): : 3249 - 3287
[29] An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
Bongaerts, Dion
de Jong, Frank
Driessen, Joost
REVIEW OF FINANCIAL STUDIES, 2017, 30 (04): : 1229 - 1269
[30] Liquidity and asset pricing: Evidence from the Chinese stock markets
Zhang, Tianyang
Lence, Sergio H.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 59

← 1 2 3 4 5 →