Valuation of a Power Plant with the Real Options Approach

Detalhes bibliográficos
Autor(a) principal: Caporal, Alexandre
Data de Publicação: 2008
Outros Autores: Brandão, Luiz Eduardo Teixeira
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/442
Resumo: Since the late 1990s, the Brazilian electric power industry has been undergoing significant structural changes, the main objective being to increase competition and attract private investment. Due to this, the National Electric Energy Agency has offered a large number of investment opportunities through auctions of the right to build and operate power plants (mostly hydroelectric) and transmission lines, including small hydroelectric plants.In this article we propose a valuation model for a power generation plant under uncertainty and with the flexibility to choose the optimal power purchase agreement using the real options approach, and then apply this model to the case of a small hydroelectric plant. The results indicate that the flexible project has a value significantly greater than that obtained through traditional discounted cash flow methods.
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spelling Valuation of a Power Plant with the Real Options ApproachAvaliação de uma Unidade de Geração de Energia Através da Teoria de Opções Reaisfinancereal optionscapital budgetingmanagerial flexibilitydecision analysisopções reaisanálise de projetosflexibilidade gerencialanálise de decisõesSince the late 1990s, the Brazilian electric power industry has been undergoing significant structural changes, the main objective being to increase competition and attract private investment. Due to this, the National Electric Energy Agency has offered a large number of investment opportunities through auctions of the right to build and operate power plants (mostly hydroelectric) and transmission lines, including small hydroelectric plants.In this article we propose a valuation model for a power generation plant under uncertainty and with the flexibility to choose the optimal power purchase agreement using the real options approach, and then apply this model to the case of a small hydroelectric plant. The results indicate that the flexible project has a value significantly greater than that obtained through traditional discounted cash flow methods.Desde o final da década de 1990, o setor elétrico brasileiro vem sofrendo fortes mudanças estruturais, cujo principal objetivo é o de aumentar a competição e permitir ao setor crescer através do investimento privado. Em função disso, a Agência Nacional de Energia Elétrica (ANEEL) tem oferecido uma multiplicidade de oportunidades de investimentos, principalmente através de leilões de unidades geradoras de energia (em sua maioria hidrelétricas), de linhas de transmissão e incentivos ao investimento em Pequenas Centrais Hidrelétricas (PCH). Neste artigo, propomos um modelo de avaliação de uma unidade de geração de energia em condições de incerteza, incorporando a flexibilidade de escolha do mecanismo de venda da energia gerada através da metodologia das Opções Reais, e aplicamos este modelo ao caso de uma PCH. Os resultados indicam que o projeto flexível tem um valor significativamente maior do que o valor obtido através da análise de fluxo de caixa tradicional.FUCAPE Business Shool2008-05-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/44210.15728/bbr.2008.5.2.2Brazilian Business Review; Vol. 5 No. 2 (2008): May to August 2008; 103-120Brazilian Business Review; v. 5 n. 2 (2008): Maio a Agosto de 2008; 103-1201808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/442/668http://www.bbronline.com.br/index.php/bbr/article/view/442/669Copyright (c) 2008 Brazilian Business Reviewhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessCaporal, AlexandreBrandão, Luiz Eduardo Teixeira2018-11-06T19:58:50Zoai:ojs.pkp.sfu.ca:article/442Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:58:50BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Valuation of a Power Plant with the Real Options Approach
Avaliação de uma Unidade de Geração de Energia Através da Teoria de Opções Reais
title Valuation of a Power Plant with the Real Options Approach
spellingShingle Valuation of a Power Plant with the Real Options Approach
Caporal, Alexandre
finance
real options
capital budgeting
managerial flexibility
decision analysis
opções reais
análise de projetos
flexibilidade gerencial
análise de decisões
title_short Valuation of a Power Plant with the Real Options Approach
title_full Valuation of a Power Plant with the Real Options Approach
title_fullStr Valuation of a Power Plant with the Real Options Approach
title_full_unstemmed Valuation of a Power Plant with the Real Options Approach
title_sort Valuation of a Power Plant with the Real Options Approach
author Caporal, Alexandre
author_facet Caporal, Alexandre
Brandão, Luiz Eduardo Teixeira
author_role author
author2 Brandão, Luiz Eduardo Teixeira
author2_role author
dc.contributor.author.fl_str_mv Caporal, Alexandre
Brandão, Luiz Eduardo Teixeira
dc.subject.por.fl_str_mv finance
real options
capital budgeting
managerial flexibility
decision analysis
opções reais
análise de projetos
flexibilidade gerencial
análise de decisões
topic finance
real options
capital budgeting
managerial flexibility
decision analysis
opções reais
análise de projetos
flexibilidade gerencial
análise de decisões
description Since the late 1990s, the Brazilian electric power industry has been undergoing significant structural changes, the main objective being to increase competition and attract private investment. Due to this, the National Electric Energy Agency has offered a large number of investment opportunities through auctions of the right to build and operate power plants (mostly hydroelectric) and transmission lines, including small hydroelectric plants.In this article we propose a valuation model for a power generation plant under uncertainty and with the flexibility to choose the optimal power purchase agreement using the real options approach, and then apply this model to the case of a small hydroelectric plant. The results indicate that the flexible project has a value significantly greater than that obtained through traditional discounted cash flow methods.
publishDate 2008
dc.date.none.fl_str_mv 2008-05-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/442
10.15728/bbr.2008.5.2.2
url http://www.bbronline.com.br/index.php/bbr/article/view/442
identifier_str_mv 10.15728/bbr.2008.5.2.2
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/442/668
http://www.bbronline.com.br/index.php/bbr/article/view/442/669
dc.rights.driver.fl_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 5 No. 2 (2008): May to August 2008; 103-120
Brazilian Business Review; v. 5 n. 2 (2008): Maio a Agosto de 2008; 103-120
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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