Avaliação da integração pecuária-floresta: análise de opções reais
Carregando...
Data
2023-02-28
Autores
Fritz, Gabriel Fratta
Título da Revista
ISSN da Revista
Título de Volume
Editor
Universidade Estadual Paulista (Unesp)
Resumo
O planejamento dos sistemas silvipastoris, que consorciam florestas plantadas com a criação de animais, devem almejar, concomitantemente, lucratividade e sustentabilidade. Na análise econômica dos projetos de investimentos em sistemas silvipastoris, é necessário que sejam incorporadas as flutuações de mercado em que o projeto está inserido. Desta forma, a análise por Opções Reais permite o diagnóstico da exposição de gestores ao risco e o melhor caminho a ser tomado diante as flexibilidades gerenciais. Sendo assim, o objetivo foi avaliar se um projeto de investimento com florestas plantadas de Eucalyptus sp. e criação semiextensiva de gado de corte é economicamente viável por meio da análise de opções reais. Ao analisar a série histórica de preços da cabeça do boi magro e da arroba do boi gordo, foi constatado que ocorreu um Movimento Geométrico Browniano. Conseguinte, foram incorporadas as flexibilidades gerenciais ao projeto de investimento em sistemas silvipastoris. A abordagem de precificação das opções adotada foi a americana, em tempo discreto, com posterior construção das árvores binomiais de decisão. O valor presente líquido tradicional foi de USD 5.287. Quando consideradas as incertezas, o valor presente líquido expandido foi USD 5.402. A volatilidade do projeto foi de 15,63%. O projeto de investimento em sistemas silvipastoris é economicamente viável sob a perspectiva da análise por opções reais. A opção de diferimento é a única responsável pelo incremento de valor do projeto, em 2,17%.
The design of silvipastoral systems, which combine planted forests with livestock production, must aim at both profitability and sustainability. In the economic analysis of investment projects in silvipastoral systems, it is necessary to take into account the market fluctuations in which the project is inserted. Thus, the Real Options Analysis allows to diagnose the risk exposure of the managers and the best path to take, given the managerial flexibility. Thus, the objective was to evaluate the economic viability of an investment project involving the planting of Eucalyptus sp. forests and semi-extensive beef cattle farming using the Real Options Analysis. By analyzing the historical price series of the lean cattle head and the fat cattle arroba, a Geometric Brownian Motion was found. Consequently, managerial flexibility was incorporated in the investment project of the silvipastoral systems. The American discrete time approach to option pricing was adopted, followed by the construction of binomial decision trees. The traditional NPV was USD 5,287. When uncertainties were considered, the expanded NPV was USD 5,402. The project volatility was 15.63%. The silvipastoral systems investment project is economically feasible from the perspective of Real Options Analysis. The deferral option is the only option responsible for increasing the project value by 2.17%.
The design of silvipastoral systems, which combine planted forests with livestock production, must aim at both profitability and sustainability. In the economic analysis of investment projects in silvipastoral systems, it is necessary to take into account the market fluctuations in which the project is inserted. Thus, the Real Options Analysis allows to diagnose the risk exposure of the managers and the best path to take, given the managerial flexibility. Thus, the objective was to evaluate the economic viability of an investment project involving the planting of Eucalyptus sp. forests and semi-extensive beef cattle farming using the Real Options Analysis. By analyzing the historical price series of the lean cattle head and the fat cattle arroba, a Geometric Brownian Motion was found. Consequently, managerial flexibility was incorporated in the investment project of the silvipastoral systems. The American discrete time approach to option pricing was adopted, followed by the construction of binomial decision trees. The traditional NPV was USD 5,287. When uncertainties were considered, the expanded NPV was USD 5,402. The project volatility was 15.63%. The silvipastoral systems investment project is economically feasible from the perspective of Real Options Analysis. The deferral option is the only option responsible for increasing the project value by 2.17%.
Descrição
Palavras-chave
sistema silvipastoril, movimento Browniano Geométrico, volatilidade, silvopastoral system, geometric brownian motion, volatility