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Measuring the Spread Components of Oil and Gas Companies from CDS
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Measuring the Spread Components of Oil and Gas Companies from CDS

Author

Listed:
  • Juliano Ribeiro de Almeida

    (Fundação Getulio Vargas - São Paulo)

  • Guilherme Ribeiro de Almeida

    (Not informed)

Abstract

In this paper, we use the information from the credit default swap market to measure the main components of the oil and gas companies spread. Using nearly 20 companies of this industry with different ratings and nearly 80 bonds, the result was that the majority of the oil and gas spread is due to the default risk. We also find that the spread component related to the non-default is strongly associated with some liquidity measures of bond markets, what suggest that liquidity has a very important role in the valuation of fixed income assets. On the other side, we do not find evidence that the non-default component of the spread is related to tax matters.

Suggested Citation

  • Juliano Ribeiro de Almeida & Guilherme Ribeiro de Almeida, 2012. "Measuring the Spread Components of Oil and Gas Companies from CDS," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(1), pages 71-104.
    • Handle: RePEc:brf:journl:v:10:y:2012:i:1:p:71-104
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    More about this item

    Keywords

    credit default swap; default; liquidity; oil and gas companies;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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