Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg Ch.; Polak, John

doi:10.1016/j.ejor.2019.01.055

Cited by 22 publications

(17 citation statements)

References 50 publications

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“…Esta información se puede utilizar para decidir de manera óptima si se justifica o no una mayor inversión, dados los ingresos futuros esperados de toda la empresa" (Brandao et al, 2018) Bajo un modelo similar al de cartera de opciones, Maier et al (2020), plantea que "el valor de las carteras de opciones reales a menudo se ve afectado por fuentes de incertidumbre tanto exógenas como endógenas, la mayoría de los enfoques de valoración existentes consideran sólo las primeras y descuidan las segundas". (Maier et al 2020) Frente a este hecho, en su artículo los escritores brindan la orientación necesaria para valorar carteras de opciones reales (abandono, aplazamiento, suspensión de pagos, etc.) dependientes entre sí bajo los tipos de incertidumbre de orden endógeno (costo de finalización de la decisión y valor de rescate) y exógeno (ingresos operativos y tasa de crecimiento).…”

Section: Valoración De Proyectosunclassified

Valoración de activos biológicos aplicados en el cultivo de Aguacate Hass, a través de la evaluación por expansión bajo la metodología de opciones reales

López¹,

Flórez²,

Papamija³

2021

SINFRONTERA

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El presente trabajo permite abordar la contabilización de los activos biológicos a valor razonable como herramienta útil y generadora de valor para una asociación de productores de aguacate hass, desde el inicio de la producción hasta la culminación del ejercicio, así mismo permitirá la valoración de un proyecto de inversión el cual contiene la expansión y contracción de dicho proyecto el cual se valorará por el sistema tradicional de valor presente neto y así mismo por la metodología de opciones reales, incluyendo los árboles binomiales, donde se puede concluir que la contabilización a valor razonable del activo real, puede generar valor en su rentabilidad de acuerdo al estándar internacional en cualquier tiempo durante la producción, de igual manera se devela que el proyecto de inversión valorado por el sistema tradicional no es viable, y al valorar el proyecto bajo la metodología por opciones reales genera flexibilidad la cual permite generar valor y que el proyecto sea rentable para la asociación.

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Section: Valoración De Proyectosunclassified

Valoración de activos biológicos aplicados en el cultivo de Aguacate Hass, a través de la evaluación por expansión bajo la metodología de opciones reales

López¹,

Flórez²,

Papamija³

2021

SINFRONTERA

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“…While exogenous uncertainty influences the growth option market value or price, it is endogenous uncertainty that influences the value of the growth option through the abi lity to create a competitive advantage from preemptive market entry (Sears, 2019). The key feature of our algorithm is that it exploits the problem structure to explicitly account for reacha bility that is the sample paths in which resource states can be reached (Maier, Pflug, & Polak, 2019). Scenario planning enhances sense-making over the consequences of future uncertainties, and real options should help in addressing flexibility in decision-making through weighing the pros and cons of flexibility measures (Van Reedt Dortland, Voordijk, & Dewulf, 2014).…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Real options as a financial instrument to evaluate a project with a high degree of uncertainty: the specifics of application

Астанакулов¹

2019

EA-XXI

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In conditions of instability of financial and commodity markets, the implementation of long-term projects with significant estimated payback periods involves not only long sources of financial resources, but also the use of new approaches to identify «weak signals» of the market, their systematic assessment and proactive response to changes. By itself, the possibility of a proactive response creates additional advantages for project participants (stakeholders), which, in financial and analytical practice, is usually associated with the concept of real options-the right to make management decisions in relation to the current or created asset. Using the investment potential of real options as one of the opportunities for evaluating projects with a high degree of instability allows one to make decisions outside the framework of the classical investment methodology. The instability factor for many investors now plays a significant role, increasing both the risk on the one hand, and the possibility of a multiple increase in capitalization on the other. The «Veriton Communications Inc» (USA) example with a simple financial option that allows an exchange investor to defer a decision about whether to buy or sell shares at a predetermined price has been given to demonstrate the basic approach to the methodology. When conducting the work, the two large medicines producing companies-«Bioten» and «Pfizer»-were analyzed, taking into account the cash-flow and the investment projects for 2018-2019. The peculiarity of the obtained results is a slight difference in Net Present Value (NPV) for different amounts of funding. The scientific novelty of the research is revealed in the principles of evaluating the investment attractiveness of projects with different degrees of innovation, which allows determining the possibility of creating innovation through the implementation of innovative investment projects by taking into account management flexibility, optimizing the capital structure according to the criterion of minimizing its cost by using the method of real options, multipliers and reverse induction, which will help to assess investment opportunities at all stages of the process of creating and implementing innovative investment projects. The practical significance is shown in the universal possibility of using this tool in the project at any stage for making an investment decision.

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“…Nevertheless, the effects of exogenous signals (i.e., signals that cannot be directly influenced by the emitter such as expert ratings) or endogenous signals (i.e., signals that can be influenced directly such as the choice of social media channels) (Maier et al 2020) on the performance of ICOs as well as their interactions with hype-driven market prices have not yet been considered. Against this background, the following questions arise:…”

Section: Introductionmentioning

confidence: 99%

Initial coin offerings and the cryptocurrency hype - the moderating role of exogenous and endogenous signals

et al. 2021

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Initial coin offerings (ICOs) have recently emerged as a new financing instrument for entrepreneurial ventures, spurring economic and academic interest. Nevertheless, the impact of exogenous and endogenous signals on the performance of ICOs as well as the effects of the cryptocurrency hype and subsequent downfall of Bitcoin between 2016 and 2019 remain underexplored. We applied ordinary least squares (OLS) regressions based on a dataset containing 1597 ICOs that covers almost 2.5 years. The results show that exogenous and endogenous signals have a significant effect on the funds raised in ICOs. We also find that the Bitcoin price heavily drives the performance of ICOs. However, this hype effect is moderated, as high-quality ICOs are not pegged to these price developments. Revealing the interplay between hypes and signals in the ICO’s asset class should broaden the discussion of this emerging digital phenomenon.

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Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Cited by 22 publications

References 50 publications

Valoración de activos biológicos aplicados en el cultivo de Aguacate Hass, a través de la evaluación por expansión bajo la metodología de opciones reales

Valoración de activos biológicos aplicados en el cultivo de Aguacate Hass, a través de la evaluación por expansión bajo la metodología de opciones reales

Real options as a financial instrument to evaluate a project with a high degree of uncertainty: the specifics of application

Initial coin offerings and the cryptocurrency hype - the moderating role of exogenous and endogenous signals

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