Uma análise empírica do spread das companhias do setor de óleo e gás

• Ano de defesa: 2010
• Autor(a) principal: Almeida, Guilherme Ribeiro de
• Orientador(a): Almeida, Caio Ibsen Rodrigues de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Inadimplência; Liquidez; Companhias do setor de óleo e gás
• Palavras-chave em Inglês: Credit default swap; Default; Liquidity; Oil and gas companies
• Link de acesso: https://hdl.handle.net/10438/6689

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 as sociated 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.