Avaliação de investimento em geração de energia eólica: uma abordagem utilizando opções reais

Abstract

The central theme of this study is the proposal of a model for evaluating a wind power project, based on real options methodology. The production of wind power farms has expanded substantially around the world and, over the last decade, the supply of this type of energy has grown averagely 20% per year. Currently, this energy source represents 1,69% of the installed capacity of electric power in Brazil and the government´s prognosis predicts that this share will increase to 9.5% in 2021. This dissertation is justified by the growth and relevance of wind power to the country. The wind power project evaluated refers to a wind farm that has been developed through an A-5 auction of the ACR market, from the sale of energy in the ACL market during the early years. It was considered that the investor has the option to wait to invest only when the time he (she) finds most appropriated comes (up to t = 3) and the option to abandon the wind farm (opportunistic investor). The uncertainties that influence the value of the project are the capex and the cash flows generated by the sale of energy in the ACL market. The effects that learning gains and loss of competitiveness have on the value of the project were also analysed. The results indicated that the abandonment option adds value to the project; however, the option to wait to invest at the right time does not. It was also concluded that in many scenarios the project would not be executed, indicating the need to develop strict rules for ACR auctions in order to avoid opportunistic investors.