THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Cerne (Online) |
Texto Completo: | https://cerne.ufla.br/site/index.php/CERNE/article/view/1090 |
Resumo: | In this study we compared the values generated by traditional economic analysis (Net Present Value - NPV) with Real Options Method. The objective was to apply the method proposed by Copeland & Antikarov for rainbow options, due to three stochastic variables selected with decision of abandonment if the project value with flexibility was less than the value of the underlying stock. It enabled the flexibility value generation in order to entrepreneurs to have more confidence in their decision when they are investing in a project with Agroforestry System, with different scenarios visualization in a single analysis. The results evidenced that the economic viability analysis, using Real Options, provided the best view of the possible scenarios, within a range generated by the prices volatility. The Net Present Value adopted as the underlying stock value was R$ 5,684.32, using the discount rate (WACC) of 9.95% and risk-free interest rate of 7.5%. To determine the volatility were calculated: the logarithmic return standard deviation (27.06), the average (0.0883), upward movements values (u) (1.3107) with 61.34% of probability and downward movements values (d)(0.7628) with 38.66% of probability. The option value in case of abandonment was R$ 2,059.01/ha positive. The results showed that the NPV overestimated the project return and that it would be viable to abandon it. |
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THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMSRisk AnalysisEconomic AnalysisForest Economy.In this study we compared the values generated by traditional economic analysis (Net Present Value - NPV) with Real Options Method. The objective was to apply the method proposed by Copeland & Antikarov for rainbow options, due to three stochastic variables selected with decision of abandonment if the project value with flexibility was less than the value of the underlying stock. It enabled the flexibility value generation in order to entrepreneurs to have more confidence in their decision when they are investing in a project with Agroforestry System, with different scenarios visualization in a single analysis. The results evidenced that the economic viability analysis, using Real Options, provided the best view of the possible scenarios, within a range generated by the prices volatility. The Net Present Value adopted as the underlying stock value was R$ 5,684.32, using the discount rate (WACC) of 9.95% and risk-free interest rate of 7.5%. To determine the volatility were calculated: the logarithmic return standard deviation (27.06), the average (0.0883), upward movements values (u) (1.3107) with 61.34% of probability and downward movements values (d)(0.7628) with 38.66% of probability. The option value in case of abandonment was R$ 2,059.01/ha positive. The results showed that the NPV overestimated the project return and that it would be viable to abandon it.CERNECERNE2016-04-19info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://cerne.ufla.br/site/index.php/CERNE/article/view/1090CERNE; Vol. 21 No. 3 (2015); 439-447CERNE; v. 21 n. 3 (2015); 439-4472317-63420104-7760reponame:Cerne (Online)instname:Universidade Federal de Lavras (UFLA)instacron:UFLAenghttps://cerne.ufla.br/site/index.php/CERNE/article/view/1090/852Copyright (c) 2016 CERNEinfo:eu-repo/semantics/openAccessJoaquim, Maísa SantosSouza, Álvaro Nogueira deSouza, Sandro Nogueira dePereira, Reginaldo SérgioAngelo, Humberto2016-04-19T11:33:20Zoai:cerne.ufla.br:article/1090Revistahttps://cerne.ufla.br/site/index.php/CERNEPUBhttps://cerne.ufla.br/site/index.php/CERNE/oaicerne@dcf.ufla.br||cerne@dcf.ufla.br2317-63420104-7760opendoar:2024-05-21T19:54:23.547026Cerne (Online) - Universidade Federal de Lavras (UFLA)true |
dc.title.none.fl_str_mv |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
title |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
spellingShingle |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS Joaquim, Maísa Santos Risk Analysis Economic Analysis Forest Economy. |
title_short |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
title_full |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
title_fullStr |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
title_full_unstemmed |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
title_sort |
THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMS |
author |
Joaquim, Maísa Santos |
author_facet |
Joaquim, Maísa Santos Souza, Álvaro Nogueira de Souza, Sandro Nogueira de Pereira, Reginaldo Sérgio Angelo, Humberto |
author_role |
author |
author2 |
Souza, Álvaro Nogueira de Souza, Sandro Nogueira de Pereira, Reginaldo Sérgio Angelo, Humberto |
author2_role |
author author author author |
dc.contributor.author.fl_str_mv |
Joaquim, Maísa Santos Souza, Álvaro Nogueira de Souza, Sandro Nogueira de Pereira, Reginaldo Sérgio Angelo, Humberto |
dc.subject.por.fl_str_mv |
Risk Analysis Economic Analysis Forest Economy. |
topic |
Risk Analysis Economic Analysis Forest Economy. |
description |
In this study we compared the values generated by traditional economic analysis (Net Present Value - NPV) with Real Options Method. The objective was to apply the method proposed by Copeland & Antikarov for rainbow options, due to three stochastic variables selected with decision of abandonment if the project value with flexibility was less than the value of the underlying stock. It enabled the flexibility value generation in order to entrepreneurs to have more confidence in their decision when they are investing in a project with Agroforestry System, with different scenarios visualization in a single analysis. The results evidenced that the economic viability analysis, using Real Options, provided the best view of the possible scenarios, within a range generated by the prices volatility. The Net Present Value adopted as the underlying stock value was R$ 5,684.32, using the discount rate (WACC) of 9.95% and risk-free interest rate of 7.5%. To determine the volatility were calculated: the logarithmic return standard deviation (27.06), the average (0.0883), upward movements values (u) (1.3107) with 61.34% of probability and downward movements values (d)(0.7628) with 38.66% of probability. The option value in case of abandonment was R$ 2,059.01/ha positive. The results showed that the NPV overestimated the project return and that it would be viable to abandon it. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-04-19 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://cerne.ufla.br/site/index.php/CERNE/article/view/1090 |
url |
https://cerne.ufla.br/site/index.php/CERNE/article/view/1090 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://cerne.ufla.br/site/index.php/CERNE/article/view/1090/852 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2016 CERNE info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2016 CERNE |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
CERNE CERNE |
publisher.none.fl_str_mv |
CERNE CERNE |
dc.source.none.fl_str_mv |
CERNE; Vol. 21 No. 3 (2015); 439-447 CERNE; v. 21 n. 3 (2015); 439-447 2317-6342 0104-7760 reponame:Cerne (Online) instname:Universidade Federal de Lavras (UFLA) instacron:UFLA |
instname_str |
Universidade Federal de Lavras (UFLA) |
instacron_str |
UFLA |
institution |
UFLA |
reponame_str |
Cerne (Online) |
collection |
Cerne (Online) |
repository.name.fl_str_mv |
Cerne (Online) - Universidade Federal de Lavras (UFLA) |
repository.mail.fl_str_mv |
cerne@dcf.ufla.br||cerne@dcf.ufla.br |
_version_ |
1799874942820417536 |