Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

The Optimality of the Common Fisheries Policy: the Northern Stock of Hake

We evaluate the management of the Northern Stock of Hake during 1986-2001. A stochastic bioeconomic model is calibrated to match the main features of this fishing ground. We show how catches, biomass stock and profits would have been if the optimal Common Fisheries Policy (CFP) consistent with the target biomass implied by the Fischler’s Recovery Plan had been implemented. The main finding are: i) an optimal CFP would have generated profits of more than 667 millions euros, ii) if side-payments are allowed (implemented by ITQ’s, for example) these profits increase 26%.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Growth variation and stock structure in North Pacific albacore

Working paper NPALB/87/21 submitted to the 10th North Pacific Albacore Workshop. Paper reports the results of ongoing research on validated age and growth models and the elucidation of stock structure for the North Pacific albacore. (Document pdf contains 22 pages)

Stock assessment of protogynous fish: evaluating measures of spawning biomass used to estimate biological reference points

In stock assessments, recruitment is typically modeled as a function of females only. For protogynous stocks, however, disproportionate fishing on males increases the possibility of reduced fertilization rates. To incorporate the importance of males in protogynous stocks, assessment models have been used to predict recruitment not just from female spawning biomass (Sf), but also from that of males (Sm) or both sexes (Sb). We conducted a simulation study to evaluate the ability of these three measures to estimate biological reference points used in fishery management. Of the three, Sf provides best estimates if the potential for decreased fertilization is weak, whereas Sm is best only if the potential is very strong. In general, Sb estimates the true reference points most closely, which indicates that if the potential for decreased fertilization is moderate or unknown, Sb should be used in assessments of protogynous stocks. Moreover, for a broad range of scenarios, relative errors from Sf and Sb occur in opposite directions, indicating that estimates from these measures could be used to bound uncertainty.

Stock assessment of loggerhead and leatherback sea turtles and An assessment of the impact of the pelagic longline fishery on the loggerhead and leatherback sea turtles of the Western North Atlantic

On September 7, 2000 the National Marine Fisheries Service announced that it was reinitiating consultation under Section 7 of the Endangered Species Act on pelagic fisheries for swordfish, sharks, tunas, and billfish. 1 Bycatch of a protected sea turtle species is considered a take under the Endangered Species Act (PL93-205). On June 30, 2000 NMFS completed a Biological Opinion on an amendment to the Highly Migratory Pelagic Fisheries Management Plan that concluded that the continued operation of the pelagic longline fishery was likely to jeopardize the continued existence of loggerhead and leatherback sea turtles.2 Since that Biological Opinion was issued NMFS concluded that further analyses of observer data and additional population modeling of loggerhead sea turtles was needed to determine more precisely the impact of the pelagic longline fishery on turtles. 3,4 Hence, the reinitiation of consultation. The documents that follow constitute the scientific review and synthesis of information pertaining to the narrowly defined reinitiation of consultation: the impact of the pelagic longline fishery on loggerhead and leatherback sea turtles The document is in 3 parts, plus 5 appendices. Part I is a stock assessment of loggerhead sea turtles of the Western North Atlantic. Part II is a stock assessment of leatherback sea turtles of the Western North Atlantic. Part III is an assessment of the impact of the pelagic longline fishery on loggerhead and leatherback sea turtles of the Western North Atlantic. These documents were prepared by the NMFS Southeast Fisheries Science Center staff and academic colleagues at Duke University and Dalhousie University. Personnel involved from the SEFSC include Joanne Braun-McNeill, Lisa Csuzdi, Craig Brown, Jean Cramer, Sheryan Epperly, Steve Turner, Wendy Teas, Nancy Thompson, Wayne Witzell, Cynthia Yeung, and also Jeff Schmid under contract from the University or Miami. Our academic colleagues, Ransom Myers, Keith Bowen, and Leah Gerber from Dalhousie University and Larry Crowder and Melissa Snover from Duke University, also recipients of a Pew Charitable Trust Grant for a Comprehensive Study of the Ecological Impacts of the Worldwide Pelagic Longline Industry, made significant contributions to the quantitative analyses and we are very grateful for their collaboration. We appreciate the reviews of the stock definition sections on loggerheads and leatherbacks by Brian Bowen, University of Florida, and Peter Dutton, National Marine Fisheries Service Southwest Fisheries Science Center, respectively, and the comments of the NMFS Center of Independent Experts reviewers Robert Mohn, Ian Poiner, and YouGan Wang on the entire document. We also wish to acknowledge all the unpublished data used herein which were contributed by many researchers, especially the coordinators and volunteers of the nesting beach surveys and the sea turtle stranding and salvage network and the contributors to the Cooperative Marine Turtle Tagging Program. (PDF contains 349 pages)

Economic Effects of Global Warming under Stock Growth Uncertainty: The European Sardine Fishery

Global warming of the oceans is expected to alter the environmental conditions that determine the growth of a fishery resource. Most climate change studies are based on models and scenarios that focus on economic growth, or they concentrate on simulating the potential losses or cost to fisheries due to climate change. However, analysis that addresses model optimization problems to better understand of the complex dynamics of climate change and marine ecosystems is still lacking. In this paper a simple algorithm to compute transitional dynamics in order to quantify the effect of climate change on the European sardine fishery is presented. The model results indicate that global warming will not necessarily lead to a monotonic decrease in the expected biomass levels. Our results show that if the resource is exploited optimally then in the short run, increases in the surface temperature of the fishery ground are compatible with higher expected biomass and economic profit.

Stock Composition of Some Sockeye Salmon, Oncorhynchus nerka, Catches in Southeast Alaska, Based on Incidence of Allozyme Variants, Freshwater Ages, and a Brain-Tissue Parasite

The incidence of four discrete characters of individual sockeye salmon -two genetically inherited proteins (PGM-1*and PGM-2*), freshwater age at migration, and the presence of the brain-tissue parasite Myxobolus arcticus-in weekly samples from two Alaskan fisheries (Noyes Island in 1986 and Sumner Strait in 1987) were used to infer stock composition of the catches based on corresponding character samples from 73 Alaskan and Canadian stocks. Estimated contributions of 13 stock groups, formed on the basis of character similarity of their members, were roughly consistent with expectations from tagging experiments, knowledge of stock magnitudes, and similar assessments from scales. Imprecision of the estimated contributions by the 13 stock groups limited their practical value; but variability was much reduced for combined estimated contributions by two inclusive categories, namely stock groups whose members had either high or low brainparasite prevalence. Noyes Island catches consisted predominantly of unparasitized fish, most of which were probably of Canadian origin. The majority of Sumner Strait catches consisted of parasitized fish, whose freshwater origins may have been in Alaska or Canada. (PDF file contains 27 pages.)

Stock assessment of the Atlantic menhaden, Brevoortia tyrannus, fishery

A stock assessment of the Atlantic menhaden, Brevoortia tyrannus, fishery was conducted with purse-seine landings data from 1940 to 1984 and port sampling data from 1955 to 1984. These data were analyzed to determine growth rates, maximum sustainable yield (MSY), spawner-recruit relationships, and yield per recruit. Virtual population analysis was used to estimate stock size, year class size, and fishing mortality rates. Surplus production models produced estimates of MSY from 450 to 490 kmt compared with yields of 416to 436 kmt based roughly on maximum recruitment from a weak spawner-recruit relationship. Recruitment to age-I ranged from 1.2 to 14.8 billion fish for year classes 1955-81. Recent mean recruitment to age-I for the 1975-81 year classes averaged 5.7 billion fish and compared favorably with the mean of 7.7 billion age-I fish recruited during the late 1950's. Mean recruitment from recent years suggests possible coastwide yields of 416 to 481 kmt. Continued dominance of late age-2 spawners among the spawning stock is of concern, since the stock is at greater risk through poor recruitment if recent favorable environmental conditions change. Yield-per-recruit estimates ranged from 46 g to 59 g since 1970. The high dependency of the modern fishery on prespawners has increased concerns about fluctuations in year-to-year availability and catches. To increase yield and enhance the stability of the resource, the number of age classes contributing significantly to the fishery should be increased, creating a butTer against future poor recruitment years and lessening the year-to-year fluctuations in landings. (PDF file contains 24 pages.)

Stock assessment of the gulf menhaden, Brevoortia patronus, fishery

A stock assessment of the gulf menhaden. Brevoortia patronus, fishery was conducted with data on purse-seine landings from 1946 to 1985 and port sampling data from 1964 to 1985. These data were analyzed to determine growth rates, yield-per-recruit, spawner-recruit relationships, and maximum sustainable yield (MSY). Virtual population analysis was used to estimate stock size, year-class size, and fishing mortality rates. During the period studied, an average of 27% of age-l fish and 55% of age-2 and age-3 fish were taken by the fishery, and 54% for age-I and 38% for age-2 and -3 fish were lost annually to natural causes. Annual yield-per-recruit estimates ranged from 6.9 to 19.3 g, with recent mean conditions averaging 12.2 g since 1978. Surplus production models produced estimates of MSY from 620 to 700 kilometric tons. Recruits to age-I ranged from 8.3 to 41.8 billion fish for 1964-82. Although there was substantial scatter about the fitted curves, Ricker·type spawner-recruit relationships were found suitable for use in a population simulation model. Estimates of MSY from population simulation model runs ranged from 705 to 825 kilometric tons with F -multiples of the mean rate of fishing ranging from 1.0 to 1.5. Recent harvests in excess of the historical MSY may not be detrimental to the gulf menhaden stock. However, one should not expect long-term harvesting above the historical MSY because of the short life span of gulf menhaden and possible changes from currently favorable environmental conditions supporting high recruitment.(PDF file contains 24 pages.)

TUNPOP: A simulation of the dynamics and structure of the yellowfin tuna stock and surface fishery of the Eastern Pacific Ocean

ENGLISH: Three distinct versions of TUNP0P, an age-structured computer simulation model of the eastern Pacific yellowfin tuna, Thunnus albacores, stock and surface tuna fishery, are used to reveal mechanisms which appear to have a significant effect on the fishery dynamics. Real data on this fishery are used to make deductions on the distribution of the fish and to show how that distribution might influence events in the fishery. The most important result of the paper is that the concept of the eastern Pacific yellowfin tuna stock as a homogeneous unit is inadequate to represent the recent history of the fishery. Inferences are made on the size and distribution of the underlying stock as well as its potential yield to the surface fishery as a result of alterations in the level and distribution of the effort. SPANISH: Se han empleado tres versiones diferentes de TUNP0P, un modelo de simulación de la computadora (basado en la estructura de la edad) de la población y la pesca epipelágica del atún aleta amarilla, Tbunnus albacares, del Pacífico oriental, para revelar los mecanismos que parecen tener un efecto importante en la dinámica pesquera. Se emplean los datos verdaderos de esta pesca para hacer deducciones sobre la distribución de los peces y para mostrar cómo puede influir esta distribución en los eventos de pesca. La conclusión más importante de este estudio es que el concepto de que la población del aleta amarilla del Pacífico oriental es una unidad homogénea, es inadecuado para representar la historia reciente de pesca. Se teoriza sobre la talla y distribución de la población subyacente como también sobre su producción potencial en la pesca epipelágica al cambiar el nivel y distribución del esfuerzo.