Opções reais aplicadas a projeto de investimento em telecomunicações com o uso do modelo binomial e simulação de Monte Carlo

• Autor(a) principal: Arantes, Eder Novais
• Data de Publicação: 2010
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da PUC_SP
• Texto Completo: https://tede2.pucsp.br/handle/handle/1423
• topic: Investimentos; Incertezas; Flexibilidade gerencial; Volatilidade; Telecomunicações; Estudo de caso; Investments; Uncertainties; Managerial flexibility; Volatility; Telecommunications; Case study; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS

The telecommunications industry is characterized by early commitment of a large volume of funds in investments carried out in a strong competition environment which puts at risk the expected returns. A careful investment valuation is essential, and most of the time it is done with the application of the Discounted Cash Flow (DCF) technique in order to calculate the Net Present Value (NPV). In situations which there are uncertainties regarding the assumptions made and the existence of strategic variables that allow greater flexibility of management action, the application of the real options theory to evaluate an investment project may complement the one initially made by DCF. This case study evaluated an investment project in telecommunications with the use of real options, in a simplified model, considering that the application of such theory has not been fully disseminated due to the complexity of its elements. From the initial valuation done by the company, the sensitivity analysis showed that the average revenue per customer and number of customers as the most relevant variables of the project and also that use of Monte Carlo simulation highlighted the high risk of the project, once a 40% negative NPV was obtained in the simulated scenarios. The calculation of project real option, considering a start delay of one year or less, was evaluated in a binomial model, which was particularly focused on its use as well as on how to estimate the required parameters in the model, specially the volatility. The case study suggests that if the theory of real options were used in addition to the initial project valuation made by NPV, the estimated option value of R$ 90 million could enhance the company competitiveness in the frequencies bid, and increasing the premium over the minimum required, that was initially estimated at 77% up to 155%, what will directly affect the managers decisionmaking