THE IMPACT OF THE VOLATILITY IN THE REAL OPTION VALUATION: AN APPLICATION TO BRAZILIAN INVESTMENTS IN TELECOMMUNICATIONS AND PETROLEUM / A INFLUÊNCIA DA VOLATILIDADE NA AVALIAÇÃO DAS OPÇÕES REAIS: O CASO DOS INVESTIMENTOS EM TELECOMUNICAÇÕES E PETRÓLEO NO BRASIL

AUTOR(ES)
DATA DE PUBLICAÇÃO

2003

RESUMO

The net present value valuation of investments in capital stock is based on the following rule: the present value of the expected stream of profits from the investment should be greater than the required expenditures. This kind of rule ignores the value of waiting related to the ability of delaying an irreversible investment. The valuation of real assets with characteristics of uncertainty over the future cash flows, irreversible or sunk costs and optimal timing of the investment decision in search for more information about prices, costs and other markets conditions, should be done using the real options approach to capital investments. Is this type of valuation, one important variable is the volatility of the stochastic process followed by the value of the project s stream of revenues. This volatility of the expected gains represents the risk of the investment. Meanwhile, projects are usually non- traded assets, therefore we should establish proxies for their risk. The presence of a greater uncertainty means a higher volatility associated with the options to delay the investment decision before commiting the irreversible resources. Therefore, the value of this flexibility grows with the volatility. Inspite of the importance of this variable to the valuation of the real of options, it s influence haven t been explored by the current literature in this subject. The goal of this dissertation is to explore the influence of the uncertainty associated with the proxies of the investments projects, analyzing their impact over the valuation of the real options. For this matter, we have choosen two important industries in the Brazilian economy: telecommunications and petroleum. Throughout the statistical study of the data we are looking forward to distinguish the risk characteristics of these proxies associates with the volatilities of a long term investment in physical assets. We also analyse the impact of these different proxies over the real option s valuation process. The presence of the risk of a long term investment in Brazil can be verified by the need of higher rates of return to accept projects.

ASSUNTO(S)

opcoes reais real options investments volatility investimentos volatilidade

ACESSO AO ARTIGO

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