Submitted by Willian Almeida (wawalmeida@gmail.com) on 2013-08-16T22:22:06Z No. of bitstreams: 1 1.pdf: 1666543 bytes, checksum: 50d6dab4e478fd01f296b9c9787d54c1 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2013-08-22T13:48:36Z (GMT) No. of bitstreams: 1 1.pdf: 1666543 bytes, checksum: 50d6dab4e478fd01f296b9c9787d54c1 (MD5) / Made available in DSpace on 2013-08-22T13:50:03Z (GMT). No. of bitstreams: 1 1.pdf: 1666543 bytes, checksum: 50d6dab4e478fd01f296b9c9787d54c1 (MD5) Previous issue date: 2013-05-24 / This work aims to identify the relationship between R&D expenditure and prices per share of integrated oil and gas companies on the NY SE. Return of investiment on R&D spending can be seen when research results are applied to production processes, increasing operational efficiency, reduc ing costs and creating new products. This usage may be a channel to share pric e variations. Whereas spendings in R&D have a long term effect, the analisys includ ed contemporary, lagged and annual aggregate R&D expenditure data. Results poin t to a positive relation between R&D expenditure and share prices. Share price varia tions were better explained by lagged data, and the positive relation becomes stat istically significant when five-years aggregates are employed. This outcome confirms the long term effect of this type of expenditure. / Este trabalho tem objetivo de identificar a relação dos gastos em P&D com os preços das ações das empresas petrolíferas integradas negociadas na NYSE. O retorno do investimento em pesquisa e desenvolvimento ocorre quando o resultado da pesquisa é aplicado aos processos produtivos, gerando assim eficiência operacional, diminuição de custos e novos produtos. Este fato pode ser considerado um canal que influencia o valor da ação. Considerando que o P&D é um investimento de longo prazo, o P&D contemporâneo, suas defasagens e o acumulado anual foram analisados. Os resultados apontaram uma relação positiva entre os gastos em P&D e o valor das ações. Em relação às defasagens, foi identificado que o valor das ações é melhor explicado quando as defasagens do P&D são utilizadas. Além disso, a relação positiva tornou-se estatisticamente significante quando os gastos de cinco anos acumulados foram utilizados. Isto confirma o caráter de longo prazo deste tipo de gasto.

My dissertation consists of three distinct but related chapters on Energy Economics and Finance. My first chapter is an empirical evaluation of market conduct in global crude oil markets. "Hotelling rule" states that even in competitive equilibrium, price of an "exhaustible resource" exceeds its marginal cost due to the opportunity cost of depleting the non-renewable resource. This cost is called "scarcity rent". Oil price exceeds its marginal extraction cost significantly. This can be attributed to two different sources: effect of scarcity of oil on prices or exercising market power by OPEC (collusion). In this paper, I use Porter (1983) approach considering the possibility of "scarcity rent" component involved in the gap between price and marginal extraction cost in the oil market. The novelty of my approach is to empirically estimate scarcity rent using data on cost of production of oil. Two benchmark cases, where scarcity rent is either zero (non-exhaustible resources hypothesis (Adelman 1990)) or equal to minimum price-cost margin are considered. The results show that in both cases OPEC failed to cooperate effectively and in second case, market conduct estimated is closer to Cournot behavior. In the second chapter of my dissertation, we employ a real options approach to evaluate oil and gas companies' investment decisions in an empirical setup. We develop a theoretical model to derive testable predictions. A unique measure of investment costs is obtained from energy industry data vendors. This novel dataset contains details of contract terms and pricing for offshore drilling equipment, which constitute the major share of investment costs in offshore oil field development. The investment database is combined with financial and macroeconomic data, which enables us to perform a panel data analysis of investments' response to variations in investment costs and market variables such as the slope of futures curve, firms' past earnings, cost of capital and implied oil price volatility. Our results show that the larger firms, facing less financial friction, are more forward looking while the smaller firms, who have less access to capital markets, are more dependent on their past earnings. The third chapter of my dissertation is about the effect of recent natural gas production boom on U.S. manufacturing. Natural gas production in North America has increased significantly over the past decade causing the prices to plunge during past 5 years. The purpose of this research is to investigate the effect of low natural gas prices on energy intensive U.S. manufacturing industries using market data. I empirically evaluate the stock market reactions of publicly traded companies in energy intensive industries to arrival of new information about the unexpected price shocks in natural gas futures markets. My results show that the stock market does not react significantly to innovations in the expected price of natural gas, proxied for by monthly changes in natural gas futures contracts with a fixed maturity date. I then split the sample into two groups based on their expenditure on natural gas as a ratio of their total production value. The stock market valuation of companies in high "natural gas intensity" industries were positively affected by unexpected downward shocks in natural gas prices and the results are significant. / text

Submitted by Guilherme Almeida (gribalmeida@yahoo.com.br) on 2010-06-08T17:36:26Z No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2010-06-16T18:54:46Z (GMT) No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) / Made available in DSpace on 2010-06-18T13:44:59Z (GMT). No. of bitstreams: 1 Dissertação Final.pdf: 295042 bytes, checksum: 8605c5a79af832a043b920088d6f45bb (MD5) Previous issue date: 2010-05-26 / 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. / Neste trabalho, utilizamos informações do mercado de credit default swap para medir os principais componentes do spread das empresas do setor de óleo e gás. Utilizando cerca de 20 empresas da indústria de óleo e gás composta por companhias de diversos ratings e aproximadamente 80 bonds, os resultados mostraram que a maior parte do spread corporativo do setor decorre do risco de inadimplemento. Também encontramos que o componente do spread não relacionado ao default é fortemente associado a algumas medidas de liquidez do mercado de bonds, sugerindo que a liquidez tem um papel importante na avaliação de títulos de renda fixa. Por outro lado, não encontramos evidências da importância de fatores tributários na explicação do componente do spread não relacionado à inadimplência.

Нефтегазовые компании осуществляют инвестиционную деятельность, которая направлена на удовлетворение имеющегося спроса на углеводородное сырье и вместе с тем, заинтересованы в повышении степени эффективности их извлечения и разработке новых технологий по их переработке, Инвестиционные проекты, которые осуществляются в нефтегазовом секторе, чаще всего характеризуются большими объемами вложений денежных средств, длительными сроками реализации и окупаемости. Эффективность реализации инвестиционных проектов зависит от большого количества внешних и внутренних факторов, изучение которых поможет избежать серьезных денежных потерь и поспособствует более быстрому достижению плановых экономических показателей, определенных инвесторами. Существует необходимость в совершенствовании методов оценки инвестиционных проектов в нефтегазовой промышленности, которые будут включать в себя анализ и оценку прочих факторов влияющих на экономическую эффективность проекта в целом, в рамках исследования упор сделан на экологические факторы. Целью магистерской диссертации является совершенствование методики оценки эффективности инвестиционных проектов нефтегазовых предприятий с учетом экологического фактора. Анализ основывался на изучении научно-периодической литературы изучении существующих показателей оценки эффективности инвестиционных проектов, а также на основе данных об экологической и финансовой деятельности компании ПАО «ЛУКОЙЛ». В качестве источников информации использовались нормативно-правовые акты, база публикаций Российского индекса научного цитирования, представленная на ресурсе Flibrary, данные корпоративной статистики по тематике исследования, данные финансовой отчетности и внутренние документы исследуемого предприятия. В ходе написания магистерской диссертации была разработана и апробирована схема оценки эффективности инвестиционных проектов в нефтегазовой отрасли, позволяющая учитывать экологическую составляющую, дополненная этапами соответствия инвестиционных предложений направлениям развития нефтегазовой отрасли, проведением экологического мониторинга и постинвестиционного анализа. / Oil and gas companies carry out investment activities that are aimed at meeting the existing demand for hydrocarbon raw materials and at the same time, are interested in improving the efficiency of their extraction and development of new technologies for their processing, Investment projects that are carried out in the oil and gas sector are most often characterized by large amounts of investments, long The effectiveness of the implementation of investment projects depends on a large number of external and internal factors, the study of which will help to avoid serious monetary losses and contribute to a more rapid achievement of the planned economic indicators determined by investors. There is a need to improve the methods of evaluation of investment projects in the oil and gas industry, which will include the analysis and evaluation of other factors affecting the economic efficiency of the project as a whole, the study focuses on environmental factors. The purpose of the master's thesis is to improve the methodology for assessing the effectiveness of investment projects of oil and gas enterprises, taking into account the environmental factor. The analysis was based on the study of scientific and periodical literature on the study of existing indicators for assessing the effectiveness of investment projects, as well as on data on the environmental and financial activities of PJSC LUKOIL. As sources of information we used legal acts, the database of publications of the Russian science citation index, presented on the resource Flibrary, data of corporate statistics on the subject of research, financial statements and internal documents of the enterprise. During the writing of the master's thesis was developed and tested a scheme for assessing the effectiveness of investment projects in the oil and gas industry, allowing to take into account the environmental component, supplemented by stages of compliance of investment proposals areas of development of the oil and gas industry, environmental monitoring and post-investment analysis.