Aplicação Da Teoria Das Opções Reais Na Análise De Investimentos Em Sistemas Agroflorestais

Abstract

RESUMO:Neste trabalho, compararam-se os valores gerados pela análise econômica tradicional (Valor Presente Líquido -VPL) com as Opções Reais. Aplicou-se o método proposto por Copeland & Antikarov para opções arco-íris, devido às três variáveis estocásticas selecionadas, com decisão de abandono caso o valor do projeto com flexibilidade fosse menor que o valor do ativo subjacente. Possibilitando a geração do valor de flexibilidade para que o empreendedor tenha mais confiança na tomada de decisão no momento de investir em um projeto com Sistema Agroflorestal, com a visualização de diversos cenários em uma única análise. Os resultados demonstraram que a análise de viabilidade econômica com Opções Reais propicia a melhor visualização dos possíveis cenários, dentro de um intervalo gerado pela volatilidade dos preços. O VPL adotado como o valor do ativo subjacente foi de R$ 5.684,32, com a taxa de desconto (WACC) de 9,95% e taxa de juros livre de risco de 7,5%. Para determinar a volatilidade calculou-se: o desvio padrão do retorno logaritmizado (27,06), a média (0,0883), valores dos movimentos ascendentes (u) 1,3107 com probabilidade de ocorrência de 61,34% e descendentes (d) 0,7628 com probabilidade de 38,66%. O valor da opção em caso de abandono foi de R$ 2.059,01/ha positivo. Os resultados mostraram que o VPL superestimou o retorno do projeto e que seria viável abandoná-lo. THE THEORY OF REAL OPTIONS IN INVESTMENT ANALYSIS OF AGROFORESTRY SYSTEMSABSTRACT: 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.

Application of the “real options theory” method to the production systems used in dairy cattle farming

“…However, according to Correia Neto (2009), the values that can occur never reach the extreme point of the tree because they follow reversion to the mean and are always close to the average. Moreover, according to Joaquim et al (2015), the binomial arrangement of the values in the event tree makes it impossible to visualize the other possible values within the interval between the minimum and maximum of the selected variable.…”

Economic Feasibility Analysis of a Forest-Livestock Integration System in Alta Floresta, Mato Grosso State, Brazil

“…The positive NPV indicated that if implemented, this integration system would cover its implementation and maintenance costs (JOAQUIM et al, 2015), i.e., the generated revenues would be sufficient to cover the expenses necessary to produce, and it would be possible to recover the financial capital invested in the integrated production system.…”

Financial Analysis of Investments in Forest Concession for Amazon Brazilian by Deterministic and Stochastic Methods

“…Since the event tree presents binomial disposition, it is not possible to visualize the other values that can occur in the interval between the minimum and the maximum of the variable under study (Joaquim et al, 2015). Without inserting managerial flexibility in the analysis of the event tree, the value obtained corresponds to the NPV initially calculated.…”

“…As shown in Figure 5, the value of the abandon option is lower in the initial investment periods, gradually increasing over the planning horizon. In projects that require investment in all periods of the planning horizon, such as the study investment, the value of abandonment is cumulative and increasing (Joaquim, 2015).…”