A Real Options Model for Evaluating Investments in the Guarulhos Airport Concession Program
American Journal of Theoretical and Applied Business
Volume 5, Issue 3, September 2019, Pages: 47-52
Received: Aug. 6, 2019; Accepted: Sep. 3, 2019; Published: Sep. 24, 2019
Views 473      Downloads 77
João Carlos Félix Souza, Faculty of Technology, University of Brasilia - UnB, Brasilia, Brazil; Graduate Program in Applied Computing - PPCA, University of Brasília – UnB, Brasília, Brazil
Matheus Martins Silva, Faculty of Technology, University of Brasilia - UnB, Brasilia, Brazil
Luiza Moury Fernandes, Faculty of Technology, University of Brasilia - UnB, Brasilia, Brazil
Guilherme Nóbrega, Faculty of Technology, University of Brasilia - UnB, Brasilia, Brazil
Felipe Moutinho, Faculty of Technology, University of Brasilia - UnB, Brasilia, Brazil
Article Tools
Follow on us
The Brazilian government began, in 2012, the program of concessions of the administration of Brazilian airports in order to improve customer service through private capital. One of the main subjects of this concession plan was the airport of Guarulhos, in the state of São Paulo (Brazil), which is the largest airport in the country, responsible on average for over 20,000 flights and transporting approximately 4 million passengers per month. Concessions of this scale demand large investments, which in turn can result in greater uncertainties regarding future cash flows. In certain cases, the NPV (Net Present Value) of these investments may become negative, which does not necessarily mean that the undertaking is unfeasible, or that it should not be encouraged. Changes in the overall economic scenario can subsequently lead to updated results in the expected cash flow, making the investment viable. One of the ways to evaluate a project under an uncertain scenario is to use the Real Options model as a strategic complement to cash flow analysis. This article presents an application to calculate the value of the expansion option for the Guarulhos international airport. For the models of uncertainty related to passenger load and flight volume, the value of the expansion option using the Black-Scholes-Merton model is calculated. The article concludes with the recommendation for the expansion to be carried out on a 4-year horizon, which in this period results in a positive strategic NPV, in addition to optimizing the utilization of the airport’s terminal capacity.
Airports, Concessions, NPV, Real Options, Black-Scholes-Merton Model
To cite this article
João Carlos Félix Souza, Matheus Martins Silva, Luiza Moury Fernandes, Guilherme Nóbrega, Felipe Moutinho, A Real Options Model for Evaluating Investments in the Guarulhos Airport Concession Program, American Journal of Theoretical and Applied Business. Vol. 5, No. 3, 2019, pp. 47-52. doi: 10.11648/j.ajtab.20190503.11
Copyright © 2019 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
ANAC, "Guarulhos (SP)" Available in: (https://www.anac.gov.br/assuntos/paginas-tematicas/concessoes/guarulhos). Acessed in: July 10, 2019.
Copeland, T. and V. Antikarov, "Opções reais: um novo paradigma para reinventar a avaliação de investimentos". Rio de Janeiro, Editora Campus, 2001.
Adetunji, O. M. and A. A. Owolabi, "Real Options and Government Supports to Infrastrucutre Investments: An Empirical Study. Journal of Modern Accounting and Auditing", v. 13, n. 5, p. 196-215. DOI: 10.17265/1548-6583/2017.05.002, 2017.
Taneja, P., M. E. Aartsen, J. A. Annema, M. van Schuylenburg, "Real Options for Port Infrastructure Invesments. Shenzhen, China. Infrastructure Systems and Services: Next Generation Infrastructure Systems for Eco-Cities (INFRA)", 2010 Third International Conference – Shenzhen/ China, 2010.
IPEA, “IPEA divulga estudos sobre aeroportos no Brasil – Nota técnica do Instituto trata de estratégias e investimentos no setor aeroportuário no Brasil” Available in: (https://www.ipea.gov.br/portal/index.php?option=com_content&view=article&id=8032&Itemid=8). Acessed in: march 5, 2019.
Paiva, Izabela Davanzo, "Concessão de aeroportos no Brasil: A transferência da Gestão do Aeroporto de Confins para a Iniciativa Privada". Rem: Universidade Federal de Alfenas, 2015.
ANAC, "Anuário do Transporte Aéreo 2017". Rem: Site Anac. 2018.
Poole Jr., R. W, "Transportation Infrastructure Finance 2012". Reason Foundation, April 8, 2013.
Moreira, V. R., "Gestão dos Riscos do Agronegócio no Contexto Cooperativista". 208 f. Tese (Doutorado em Administração de Empresas) – Fundação Getúlio Vargas, São Paulo, 2009.
Black, F. and M. Scholes (1973), "The pricing of options and corporate liabilities". Journal of Political Economy, v. 81, p. 637-659.
Silva, E. L. da; Menezes, E. M., "Metodologia da Pesquisa e Elaboração de Dissertação". 4 ed. Florianópolis: Editora UFSC, 2005.
ANUÁRIO CNT DO TRANSPORTE, "Passageiros-Quilômetro pagos transportados". Available at: (http://anuariodotransporte.cnt.org.br/2018/Aeroviario/4-5-2-1-/Passageiros-Quil%C3%B4metro-pagos-transportados-(RPK)). Acessed in: June 10, 2019.
Pindyck, R. (1991), "Irreversibility, Uncertainty, and Investment". Journal of Economic Literature, v. 29, n. 3, p. 110-1148.
Dixit, A. and R. Pindyck (1994), "Investment under uncertainty". New Jersey, USA: Princeton University Press.
Lima, Gabriel A.C.; Suslick, Saul B, "Estimativa da volatilidade de projetos de bens minerais". Rem: Revista Escola de Minas, v. 59, n. 1, p. 37-46, 2006.
Souza, J. C. F.; Rocha, C. H.; Souza, J. G. M., "Modelo de Opções Reais para avaliação de investimentos em novos portos e terminais portuários brasileiros". Transportes (Rio de Janeiro - Brasil), vol. 26, série 4, p. 103-115, 2018.
Merton, R. (1973), "Theory of rational option pricing". Bell Journal of Economics and Management Science, v. 4, p. 141-183.
Hair Jr, J. F., Anderson, R. E., Tatham, R. L., and Black, W. C., "Análise Multivariada de Dados". Bookman, Porto Alegre (RS), Brazil. (2005).
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186