Measuring the Spread Components of Oil and Gas Companies from CDS

Juliano Ribeiro de Almeida () and Guilherme Ribeiro de Almeida ()
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Juliano Ribeiro de Almeida: Fundação Getulio Vargas - São Paulo
Guilherme Ribeiro de Almeida: Not informed

Brazilian Review of Finance, 2012, vol. 10, issue 1, 71-104

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.

Keywords: credit default swap; default; liquidity; oil and gas companies (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:10:y:2012:i:1:p:71-104

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