Journal of Energy Finance & Development最新文献

The Prudhoe Bay reservoir consists of two participating areas: an Oil Rim and a Gas Cap. They have different ownership interests for both the oil and the gas. Although a Major Gas Sale would affect the economics of the two areas differently, if a gas sale is economic for the Unit as a whole, it is probably economic for both areas; there would not be an incentive for only one of the areas to have a gas sale.

Recent empirical studies have documented the significantly positive monotonic relationship between changes in corporate focus and firm value. Focus-decreasing activities such as diversifying mergers have been shown to diminish firm value while focus-increasing activities, including divestitures of unrelated assets, exhibit a value-enhancing effect. However, many of these studies follow the convention of excluding utilities as their regulated industry makes then incomparable to unregulated industries. Examining only utility mergers and acquisitions, this study finds that only those which occur between utilities operating in different primary lines of business (“bundling” mergers) experience significant increases in firm value. Consistent with other studies, conglomerate mergers lead to a substantial decrease in firm value. Horizontal and vertical mergers lead to insignificant wealth gains. These results present an anomaly to the corporate focus theory and indicate that the regulation of utilities creates value for related diversification - contrary to the monotonic relationship exhibited in unregulated industries.

In this article I develop a one-factor model for the stochastic behavior of commodity prices that retains most of the characteristics of a more complex two-factor stochastic convenience yield model in terms of its ability to price the term structures of futures prices and volatilities. The model is based on the pricing and volatility results of the two-factor model. When applied to value long-term commodity projects, it gives practically the same results as the more complex model. The inputs to the model are the current prices of all existing futures contracts (and their maturities) and the estimated parameters of the two-factor model. It only requires, however, the numerical solution corresponding to a simple one-factor model. Existing computer programs can be easily modified to incorporate the essential elements of the new model.

There are two methods to combine oil and gas reserve quantities and values, an energy-based conversion method and a revenue-based conversion method. Prior academic research on the valuation of reserve quantities has used the energy-based conversion method, but he validity of the energy-based conversion has been questioned in the accounting literature (Lys, 1986; Koester, 1993). The purpose of this study was to examine whether total proven reserves calculated using a revenue-based conversion method was more value-relevant than total proven reserves calculated using an energy-based conversion method. The research hypothesis was tested with two methods, each using a pooled, cross-sectional (panel data) sample of 399 film-years from the Arthur Andersen Oil and Gas Reserve Disclosure Database 1989–1993. The empirical results provided no support for the hypothesis that a revenue-based conversion method was superior to an evergy-based conversion method for valuation purposes.

In this article we develop and implement a model to value an undeveloped oil field and to determine the optimal timing of investment. We assume a two factor model for the stochastic behavior of oil prices for which a closed form solution for futures prices can be obtained. The advantage of this model is that is allows for the term structure of futures prices to be upward sloping (contango), downward sloping (backwardation) and also humped. We use Monte Carlo simulation methods for solving the problem. Since the decision to develop the oil field can be taken at any time until the expiration of the concession, the option to invest is of the American type. This type of options are solved by the numerical solution of the appropriate partial differential equation. If we assume, however, that the decision to invest (exercise the option) can be made at a finite number of points in time instead of continuously, the problem can be solved using simulation methods. Apart from being more intuitive, Monte Carlo simulation methods easily allow for the consideration of many additional random variables such as costs, amount of reserves, etc.

This paper investigates the assertion that the U.S. corporate alternative minimum tax system diminishes exploration and development investment by U.S. corporations operating in the extractive petroleum industry. The analysis is based on an after-tax investment model in which number of wells drilled and exploration risk are endogenous variables. The model is solved using 1) the values of the relevant tax parameters specified by the tax code and 2) empirical estimates of the non-tax parameters and exogenous variables. The analysis shows that the alternative minimum tax has reduced by 9% the optimal number of exploration wells as compared to the optimal number of exploration wells prior to the introduction of the alternative minimum tax. The analysis also shows that the alternative minimum tax has 1) reduced the optimal level of exploration risk and 2) increased the importance of well-designed incentive compensation agreements for firms operating in the extractive petroleum industry.

This paper estimates crude oil supply functions for 41 countries to garner evidence on whether such functions are expanding or contracting. Poor data quality dictates a simple specification. The results show 26 countries with statistically significant shifts in supply functions—in almost equal parts expansionary and contractionary. Others show no evidence of decline. The conclusion is that a gloomy outlook for non-OPEC supply is not warranted.

This paper addresses the issue of “simple efficiency,” which states that the futures price is an unbiased predictor of the spot price, in the case of trading in crude oil futures at NYMEX. This issue received considerable attention in the literature using cointegration analysis. This paper, however, explicitly deals with the crash in 1986, which is built into the analysis as a structural break following Perron (1989), and, more importantly, analyzes the trivariate system of spot-futures-posted prices in addition to bivariate spot-futures and spot-posted systems. The results indicate that the futures price of light sweet crude oil traded at NYMEX plays a significant role in price discovery. This observation is also supported by the widespread use of the futures price as a benchmark all over the world as well as by the decision of the U.S. Minerals Management Service to switch to the futures price from the posted price as the standard for calculating royalties.