Determinação dos limites de entrada e saída de um projeto de investimento em uma lavoura de café com aplicação da teoria de opções reais

• Ano de defesa: 2007
• Autor(a) principal: Cardoso, Carlos Eduardo
• Orientador(a): Martin, Diógenes Manoel Leiva
• Banca de defesa: Marçal, Emerson Fernandes , Castro Junior, Luiz Gonzaga de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Presbiteriana Mackenzie
• Programa de Pós-Graduação: Administração de Empresas
• Departamento: Administração
• País: BR
• Palavras-chave em Português: opções reais; investimento; abandono; lavoura de café
• Palavras-chave em Inglês: real options; investment; abandonment; coffee crop
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
• Link de acesso: http://dspace.mackenzie.br/handle/10899/23381

The investment decision in perennial crops in a decision under risk once the time to become productive is long. The investor is aware of the current and past market behavior especially in the case of commodities, and has a thorough knowledge of the costs to be incurred. The natural tendency of the decision process is to star a new crop when prices are high and to abandon when the prices go down. The modeling of the response to the demand for coffee is usually done using multiple regression as shown by Wickens and Greenfield (1973). These models treat the response to demand composed by two parts: The long term investment comprising the formation of the trees, soil treatment, planting and growing up to the stage of starting production at a commercial level and the short term investment composed by annual expenses in the culture. The long term component is modeled considering the delay between the decision to start the crop and the production stage. The exit decision is modeled by lagging one year prices as in Arak (1969 apud LUONG and TAUER 2004). Income is explained in several studies by three variables: current prices, prices lagged one year and production lagged one year. Current and one year lagged prices correspond to the short range income. The one year lagging is explained by the production cycle of the Arabica coffee. For other types of coffee, the lagging may be different. Exceptions in the production volume caused by climate conditions may be modeled omitting the clearly outlier observations or using dummy variables. Dixit and Pindyck (1994) state that most of the investments are irreversible and may be postponed. The investor, in this case, owns an option to but not the obligation to invest. Luong and Tauer (2004) applied a simple entry-exit model based in the work of Dixit e Pindyck (1994) to determine the frontiers of entry-exit prices for Vietnam coffee producers. The current work intends to investigate the application of the model suggested by Dixit and Pindyck (2004) and in the work of Luong and Tauer (2004) on the definition of the entry and exit prices in the case of a Brazilian coffee producer. The model is based in the Real Options Theory for analysis of decisions under risk. The model seeks to determine the trigger prices to entry a production process and to abandon the crop as a function of the investment to start production and costs incurred, in the maintenance of the production and in the exit process. This research shows the superiority of the real options model as compared to the empiric decision models used by farmers and to the conventional neo classic decision model to determine the entry and exit points in the coffee crop.