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A Binomial Tree Approach to Valuing Fixed Rotation Forests and Flexible Rotation Forests Under a Mean Reverting Timber Price Process AgEcon
Tee, James; Scarpa, Riccardo; Marsh, Dan; Guthrie, Graeme.
NPV and LEV are established and common approaches to valuing single rotation and infinite rotation forests respectively, when the rotation age is fixed in advanced. More recently, Real Options approaches have been employed to value single and infinite rotation forests with a flexible harvest age. Under a stochastic timber price process, it has been shown that the valuation of a flexible rotation forest is equal or higher than that of a fixed rotation forest, because a flexible harvest regime delays the harvest if the timber price is not favourable, whereas a fixed harvest regime would proceed to harvest regardless of the price. Often, valuation of fixed and flexible rotation ages are compared using 2 different methods – NPV (or LEV) and Real Options. The...
Tipo: Conference Paper or Presentation Palavras-chave: NPV; LEV; Real Options; Optimal Harvest Decision; Agribusiness; Crop Production/Industries; Environmental Economics and Policy; Land Economics/Use.
Ano: 2010 URL: http://purl.umn.edu/96836
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An Evaluation of Overseas Oil Investment Projects under Uncertainty Using a Real Options Based Simulation Model AgEcon
Zhu, Lei; Zhang, ZhongXiang; Fan, Ying.
This paper applies real options theory to establish an overseas oil investment evaluation model that is based on Monte Carlo simulation and is solved by the Least Squares Monte-Carlo method. To better reflect the reality of overseas oil investment, our model has incorporated not only the uncertainties of oil price and investment cost but also the uncertainties of exchange rate and investment environment. These unique features have enabled our model to be best equipped to evaluate the value of oil overseas investment projects of three oil field sizes (large, medium, small) and under different resource tax systems (royalty tax and production sharing contracts). In our empirical setting, we have selected China as an investor country and Indonesia as an...
Tipo: Working Paper Palavras-chave: Overseas Oil Investment; Project Value; Real Options; Least Squares Monte-Carlo; Resource /Energy Economics and Policy; Q41; Q43; Q48; G31; O13; O22; C63.
Ano: 2011 URL: http://purl.umn.edu/119106
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Closing down the Farm: An Experimental Analysis of Disinvestment Timing AgEcon
Maart, Syster Christin; Musshoff, Oliver; Odening, Martin; Schade, Christian.
Agrarian structures are often characterized by some kind of economic inertia. It is particularly puzzling why unprofitable farms persist over time instead of being sold. In this paper we analyze the exit decision of farmers using the real options approach. The validity of the real options theory is assessed by means of laboratory experiments. Our results show that real options models are able to predict actual disinvestment decisions better than traditional investment theory. Nevertheless, the observed disinvestment reluctance was even more pronounced as predicted by theory. This finding suggests the inclusion of bounded rationality into normative disinvestment models.
Tipo: Conference Paper or Presentation Palavras-chave: Disinvestment; Real Options; Experimental Economics; Agricultural Finance; Farm Management; C91; D81; D92.
Ano: 2011 URL: http://purl.umn.edu/114375
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Comparison of the Investment Behavior of German and Kazakhstani Farmers: an Experimental Approach AgEcon
Tubetov, Dulat; Maart, Syster Christin; Musshoff, Oliver.
Revised April 2012
Tipo: Working Paper Palavras-chave: Experimental Economics; Investment Timing; Real Options; Kazakhstan; Germany; Agricultural Finance; Institutional and Behavioral Economics; International Development; Risk and Uncertainty; C91; D03; D81; D92.
Ano: 2012 URL: http://purl.umn.edu/122422
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Effects of Low-cost Offsets on Energy Investment – New Perspectives on REDD – AgEcon
Golub, Alexander; Fuss, Sabine; Szolgayova, Jana; Obersteiner, Michael.
Tropical deforestation is one of the major sources of carbon emissions, but the Kyoto Protocol presently excludes avoiding these specific emissions to fulfill stabilization targets. Since the 13th Conference of the Parties (COP) to the UNFCCC in 2007, where the need for policy incentives for the reduction of emissions from deforestation and degradation (REDD) was first officially recognized, the focus of this debate has shifted to issues of implementation and methodology. One question is how REDD would be financed, which could be solved by integrating REDD credits into existing carbon markets. However, concern has been voiced regarding the effects that the availability of cheap REDD credits might have on energy investments and the development of clean...
Tipo: Working or Discussion Paper Palavras-chave: Real Options; Energy Investment; Cap-And-Trade; REDD; Environmental Economics and Policy; Q23; Q28.
Ano: 2009 URL: http://purl.umn.edu/50402
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El valor de la flexibilidad en la valoracion de inversiones acuícolas AgEcon
Sempere, Loreto Pardo; Alcaide, Jose Javier Rodriguez.
Las fuertes inversiones iniciales que son necesarias para comenzar una actividad acuícola, unidas al período tan dilatado del ciclo de explotación y al riesgo que esta actividad comporta, son situaciones que comprometen el futuro de la actividad cuya continuidad pasa necesariamente por la consecución de la viabilidad económica. Por ello, es importante prestar atención a los estudios que justifiquen esta viabilidad económica considerando aspectos tales como la propia flexibilidad operativa o el valor estratégico que tiene cada proyecto de inversión, a menudo considerados factores críticos para la supervivencia. Desde esta perspectiva, se pone de manifiesto la necesidad y la oportunidad de la investigación, basado en la aplicación del método de Opciones...
Tipo: Journal Article Palavras-chave: Aquaculture; Real Options; Risk; Flexibility in operations; Risk and Uncertainty; B41; C15; D81.
Ano: 2005 URL: http://purl.umn.edu/28786
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EX-ANTE EVALUATION OF AGRI-ENVIRONMENTAL SCHEMES: COMBINING ELEMENTS OF PRIVATE AND PUBLIC DECISION MAKING AgEcon
Bartolini, Fabio; Gallerani, Vittorio; Viaggi, Davide.
The objective of this paper is to set a complete ex-ante evaluation to support Decision Makers in designing more efficient and effective agri-environmental contracts, through an integrated modelling of elements of private and public decision making. Ex-ante comparison of policy design options in terms of overall effectiveness requires both simulations of farmers' behaviour and evaluation of the farms simulations outcomes. An intermediate step is the aggregation of single farms impacts at territorial level, in order to identify the aggregate impact of each alternative. Alternatives are several contract design, based on different levels of payments. Farm level analysis is based on a real options approach including in the simulations the timing of choice and...
Tipo: Conference Paper or Presentation Palavras-chave: Agri-environmental schemes; Real Options; Investments; Decoupled payments; Uncertainty; Agricultural and Food Policy; Environmental Economics and Policy; Risk and Uncertainty.
Ano: 2008 URL: http://purl.umn.edu/6639
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Investing in Biogas: Timing, Technological Choice and the Value of Flexibility from Inputs Mix AgEcon
Di Corato, Luca; Moretto, Michele.
In a continuous-time framework we study the technology and investment choice problem of a continuous co-digestion biogas plant dealing with randomly fluctuating relative convenience of input factor costs. Input factors enter into the productive process together mixed according to a given initial rule. Being inputs relative convenience stochastically evolving, a successive revision of the initial rule may be desirable. Hence, when the venture starts the manager may or may not install a flexible technology allowing for such option. Investment is irreversible and flexibility is costly. The problem is solved determining in the light of future prospects the optimal revision and then playing backward fixing the investment timing rule.
Tipo: Working or Discussion Paper Palavras-chave: Factor Proportions; Technological Choice; Flexibility; Real Options; Alternative Energy Source; Environmental Economics and Policy; C61; D24; Q42.
Ano: 2009 URL: http://purl.umn.edu/55283
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Land-use Change and Solar Energy Production: A Real Option Approach AgEcon
Ardjan, Gazheli; Di Corato, Luca.
In this paper a real option model is developed to examine the critical factors affecting the decision to lease agricultural land to a company installing a PV power plant. The leasing payment is certain while the net revenues from agriculture are uncertain. We identify the profit values at which the farmer decides to lease his plot vs. continue farming it. By applying the model to the province of Bologna (Italy), we illustrate the possible land-use change scenarios in this area. We conclude by discussing the importance of PV energy production as a source of income for farmers and its implications from a social perspective.
Tipo: Working Paper Palavras-chave: Land Allocation; Real Options; Renewable Energy; Solar farm; Uncertainty; Resource /Energy Economics and Policy; C61; D81; Q24; Q42.
Ano: 2011 URL: http://purl.umn.edu/120041
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Licences, "Use or Lose" Provisions and the Time of Investment AgEcon
Dosi, Cesare; Moretto, Michele.
Exclusive rights granted by public authorities, like concessions to develop natural resources or electromagnetic spectrum licences, often have option-like features. However, to avoid licences being unused for lengthy periods, regulators sometimes set time limits, after which the exclusive right of exercise may be revoked. In this paper we analyse the impact of use or lose ("UOL") provisions upon the private time of investment. We find that the risk of losing the licence because of inaction generally increases the probability of early investment. However, when capital costs are expected to decline over time, UOL provisions may involve a "perverse effect", by increasing, rather than reducing, the expected time of investment, with respect to a situation where...
Tipo: Working or Discussion Paper Palavras-chave: Licences; Real Options; Use or Lose Provisions; Time of Investment; Financial Economics; L51; D44; D92.
Ano: 2010 URL: http://purl.umn.edu/59756
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Optimal Conservation Policy under Imperfect Intergenerational Altruism AgEcon
Di Corato, Luca.
In this paper we study the optimal forest conservation policy by a hyperbolically discounting society. Society comprises a series of non-overlapping imperfectly altruistic generations each represented by its own government. Under uncertainty about future pay-offs we determine, as solution of an intergenerational dynamic game, the optimal timing of irreversible harvest. Earlier harvest occurs and the option value attached to the forest clearing decision is eroded under both the assumptions of naïve and sophisticated belief about future time-preferences. This results in a bias toward the current generation gratification which affects the intergenerational allocation of benefits and costs from harvesting and conserving a natural forest.
Tipo: Conference Paper or Presentation Palavras-chave: Imperfect altruism; Real Options; Hyperbolic Discounting; Time Inconsistency; Natural Resources Management; Resource /Energy Economics and Policy; D81; C70; Q23; Q58.
Ano: 2011 URL: http://purl.umn.edu/114440
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Optimal Conservation Policy Under Imperfect Intergenerational Altruism AgEcon
Di Corato, Luca.
In this paper we study the optimal forest conservation policy by a hyperbolically discounting society. Society comprises a series of non-overlapping imperfectly altruistic generations each represented by its own government. Under uncertainty about future pay-offs we determine, as solution of an intergenerational dynamic game, the optimal timing of irreversible harvest. Earlier harvest occurs and the option value attached to the forest clearing decision is eroded under both the assumptions of naïve and sophisticated belief about future time-preferences. This results in a bias toward the current generation gratification which affects the intergenerational allocation of benefits and costs from harvesting and conserving a natural forest.
Tipo: Working Paper Palavras-chave: Imperfect Altruism; Real Options; Hyperbolic Discounting; Time Inconsistency; Natural Resources Management; Research Methods/ Statistical Methods; D81; C70; Q23; Q58.
Ano: 2011 URL: http://purl.umn.edu/120022
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Optimal Investment and Financial Strategies under Tax Rate Uncertainty AgEcon
Fedele, Alessandro; Panteghini, Paolo M.; Vergalli, Sergio.
In this paper we apply a real-option model to study the effects of tax rate uncertainty on a firm's decisions. In doing so, we depart from the relevant literature, which focuses on fully equity-financed investment projects. By letting a representative firm borrow optimally, we show that debt finance not only encourages investment activities but can also substantially mitigate the effect of tax rate uncertainty on investment timing.
Tipo: Working or Discussion Paper Palavras-chave: Capital Levy; Corporate Taxation; Default Risk; Real Options; Financial Economics; H2.
Ano: 2010 URL: http://purl.umn.edu/91001
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Optimal Timing of Farmland Investment - An Experimental Study on Farmers' Decision Behavior - AgEcon
Maart, Syster Christin; Musshoff, Oliver.
Replaced with revised version of paper 5/26/11.
Tipo: Conference Paper or Presentation Palavras-chave: Experimental Economics; Investment; Real Options; Agribusiness; Agricultural Finance; Farm Management; Financial Economics; Institutional and Behavioral Economics; Risk and Uncertainty; C91; D81; D92.
Ano: 2011 URL: http://purl.umn.edu/103693
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Profit Sharing under the Threat of Nationalization AgEcon
Di Corato, Luca.
A multinational corporation engages in foreign direct investment for the extraction of a natural resource in a developing country. The corporation bears the initial investment and earns as a return a share of the profits. The host country provides access and guarantees conditions of operation. Since the investment is totally sunk, the corporation must account in its plan not only for uncertainty in market conditions but also for the threat of nationalization. In a real options framework, where the government holds an American call option on nationalization, we show under which conditions a Nash bargaining leads to a profit distribution maximizing the joint venture surplus. We find that the threat of nationalization does not affect the investment threshold...
Tipo: Working or Discussion Paper Palavras-chave: Real Options; Nash Bargaining; Expropriation; Natural Resources; Foreign Direct Investment; International Relations/Trade; Resource /Energy Economics and Policy; C7; D8; K3; F2; O1.
Ano: 2010 URL: http://purl.umn.edu/58292
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Profit Sharing under the Threat of Nationalization AgEcon
Di Corato, Luca.
A government bargains a mutually convenient agreement with a multinational corporation to extract a natural resource. The corporation bears the initial investment and earns as a return a share on the profits. The host country provides access and guarantee conditions of operation. Being the investment totally sunk, the corporation must account in its plan not only for uncertainty on market conditions but also for the threat of nationalization. In a real options framework where the government holds an American call option on nationalization we show under which conditions a Nash bargaining is feasible and leads to attain a cooperative agreement maximizing the joint venture surplus. We find that the threat of nationalization does not affect the investment time...
Tipo: Working or Discussion Paper Palavras-chave: Real Options; Nash Bargaining; Expropriation; Natural Resources; Foreign Direct Investment; Financial Economics; C7; D8; K3; F2; O1.
Ano: 2010 URL: http://purl.umn.edu/59378
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The Effects of Different Political Schemes on the Willingness to Invest, Firm Profitability and Economic Efficiency in the Dairy Sector - An Agent-Based Real Options Approach- AgEcon
Feil, Jan-Henning; Musshoff, Oliver; Balmann, Alfons.
In recent years, the dairy sector has been exposed to strong changes in general conditions and extreme fluctuations in milk prices. Farmers and lobbyists have therefore asked politicians for additional market regulation. In this paper an agent-based real options market model is developed, which allows the analysis of the effects of different political schemes on the willingness to invest, firm profitability and economic efficiency in the dairy sector. The model results show that political schemes generally increase the willingness to invest in competitive markets under consideration of real options effects. However, they do not offer any substantial financial benefits to the producers and can cause a significant reduction in welfare. Furthermore, the...
Tipo: Conference Paper or Presentation Palavras-chave: Real Options; Competition; Policy Impact Analysis; Dairy Sector; Agricultural and Food Policy; D81; Q12; Q18.
Ano: 2011 URL: http://purl.umn.edu/100039
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The Impacts of Fees and Taxes on Choices of Development Timing and Capital Intensity AgEcon
Jou, Jyh-Bang; Lee, Tan.
This article compares the effects of various fiscal policies on choices of development timing and capital intensity when rents on housing follow geometric Brownian motion with those when rents follow arithmetic Brownian motion. These policy instruments include fees on capital, housing, and land, and taxes on urban income, and properties both before and after development. Regardless of the motion of rents, when one choice is fixed, the effects of these policy instruments on the other choice are qualitatively the same. When the two choices are determined endogenously, although these policy instruments exhibit the same qualitative effect on the choice of development timing, they may exhibit different effects on the choice of capital intensity if rents on...
Tipo: Conference Paper or Presentation Palavras-chave: Capital intensity; Development Timing; Fees; Taxation; Real Options; International Development; G13; H21; H23; R52.
Ano: 2007 URL: http://purl.umn.edu/10352
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Uncertainty in Integrated Assessment Models of Climate Change: Alternative Analytical Approaches AgEcon
Golub, Alexander; Narita, Daiju; Schmidt, Matthias G.W..
Uncertainty plays a key role in the economics of climate change, and the discussions surrounding its implications for climate policy are far from settled. We give an overview of the literature on uncertainty in integrated assessment models of climate change and identify some future research needs. In the paper, we pay particular attention to three different and complementary approaches that model uncertainty in association with integrated assessment models: the discrete uncertainty modeling, the most common way to incorporate uncertainty in complex climate-economy models: the real options analysis, a simplified way to identify and value flexibility: the continuous-time stochastic dynamic programming, which is computationally most challenging but necessary...
Tipo: Working or Discussion Paper Palavras-chave: Uncertainty; Learning; Economics of Climate Change; Integrated Assessment Models; Real Options; Environmental Economics and Policy; D81; Q54; C61.
Ano: 2011 URL: http://purl.umn.edu/99638
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UTILIZANDO OPÇÕES REAIS NA ANÁLISE DE VIABILIDADE DE PROJETOS DE INVESTIMENTO AGROPECUÁRIOS: UM ENSAIO TEÓRICO AgEcon
Macedo, Marcelo Alvaro da Silva; Nardelli, Paula Moreira.
Este artigo representa um ensaio teórico que busca apresentar e discutir a aplicação da Teoria de Opções Reais (TOR) na análise de viabilidade econômico-financeira de projetos agropecuários. Através de uma revisão sobre os métodos tradicionais de avaliação de projetos de investimento; sobre os problemas, restrições e limitações ao uso destes; e sobre a teoria das opções reais e seus principais usos, este trabalho busca formar base de sustentação teórica para através de um exemplo ilustrativo mostrar a aplicação da TOR no agronegócio. Busca-se, através deste exemplo, discutir a possibilidade de melhorar as análises de viabilidade na área agrária pela aplicação da TOR. As motivações, justificativas e impactos positivos pelo uso da metodologia em projetos...
Tipo: Conference Paper or Presentation Palavras-chave: Opções Reais; Agronegócio; Viabilidade Econômico-Financeira; Projetos de Investimento; Real Options; Agribusiness; Economical and Financial Viability; Investment Projects; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/113393
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