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| Author: | Kretzschmar, G.L. Kirchner, A. |
| Title: | Recovery of hidden state participation effects on oil and gas asset values |
| Journal: | European Journal of Finance
2008 : OCT-DEC, VOL. 14:7-8, p. 755-769 |
| Index terms: | oil industry gas industry asset valuation |
| Freeterms: | hidden state participation effects recovery ledging |
| Language: | eng |
| Abstract: | Using a global sample of oilfield assets to demonstrate that oilfield participation terms cause corporate asset cash flows, volatility horizons and minimum variance hedge ratios to vary in response to oil price. The paper provides additional insights into movements in the timing of physical oil and gas asset risk, a hidden effect not recoverable from market oil prices and provides evidence that static risk measures understate the periodicity of price risk implicit in depleting assets. Risk measurement is demonstrated to be asset specific and to vary heterogeneously in response to the combined effects of state participation and market factors. |
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