Abstract:O artigo discute a análise de projetos de investimento nos quais não se adequa a hipótese de risco crescente no tempo. Este é o caso de investimentos em pesquisa, onde a cada etapa vencida, diminuem-se os riscos de insucesso do projeto. Mostra-se que projetos deste tipo, se avaliados segundo o critério usual de método de fluxo de caixa descontado a uma taxa que incorpora um prêmio de risco, são sistematicamente rejeitados. Apresenta-se um estudo de caso, baseado numa experiência real conduzida no âmbito de uma… Show more
“…Since the 1980s, the applicability of methodologies that are already well established in corporate practice to the assessment of investment projects, with high degrees of uncertainty, has been discussed, as reported by Faulkner (1996) and Neves (1992). Research and development (R&D) projects are the quintessential representatives of this category of investments, in which the risk of additional factors to the natural uncertainties of the market (for example, technical uncertainty) leads to assessments made in conventional methodological bases, imposing a penalty that frequently induces companies to underinvest in R&D.…”
This paper analyzes changes in the assessment of an incremental R&D project by an industrial firm with the progressive consideration of the endogenous treatment of its main sources of uncertainty: technical performance and development time. We found that the project, which was unfeasible under a deterministic assessment by Net Present Value (NPV) without flexibility, became feasible after the treatment of the technical uncertainty by a real options model (NPV with flexibility). Moreover, the project gained approximately 51 percent more value in flexibility when a treatment of the development time uncertainty was added to the model. In terms of additional flexibility per unit cost of the project, the gain is approximately 44 percent. This result demonstrates the importance of addressing the combination of these sources of uncertainty in R&D projects, especially those that are incremental, which is a difficult category to analyze in terms of quantitative benefits.
“…Since the 1980s, the applicability of methodologies that are already well established in corporate practice to the assessment of investment projects, with high degrees of uncertainty, has been discussed, as reported by Faulkner (1996) and Neves (1992). Research and development (R&D) projects are the quintessential representatives of this category of investments, in which the risk of additional factors to the natural uncertainties of the market (for example, technical uncertainty) leads to assessments made in conventional methodological bases, imposing a penalty that frequently induces companies to underinvest in R&D.…”
This paper analyzes changes in the assessment of an incremental R&D project by an industrial firm with the progressive consideration of the endogenous treatment of its main sources of uncertainty: technical performance and development time. We found that the project, which was unfeasible under a deterministic assessment by Net Present Value (NPV) without flexibility, became feasible after the treatment of the technical uncertainty by a real options model (NPV with flexibility). Moreover, the project gained approximately 51 percent more value in flexibility when a treatment of the development time uncertainty was added to the model. In terms of additional flexibility per unit cost of the project, the gain is approximately 44 percent. This result demonstrates the importance of addressing the combination of these sources of uncertainty in R&D projects, especially those that are incremental, which is a difficult category to analyze in terms of quantitative benefits.
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