دارایی واقعی و گزینه های واقعی - یک مطالعه موردی

Real estate investments in emerging economies are characterized by low liquidity, slow payback and high sunk costs; enduring uncertainties about demand, price/m2 and land costs. The introduction of the real options methodology in their analysis considers a housing development as an investment opportunity encompassing several options regarding information acquisition, deferral and abandonment. The model proposed values these managerial flexibilities and shows improved risk management, identifying the optimal strategy (simultaneous vs. sequential) and timing for the construction phases. The maximum rent to pay for the exclusive rights on the land is also determined, a less capital intensive alternative to land ownership.

Real estate developments in emerging economies present tight working capital, low liquidity, slow payback, capital intensive outflows that are not immediately recovered, and short to medium construction times. For the long run, these investments are attracting the interest of a banking sector, searching for more attractive returns and the diversification of its portfolio. There are also several uncertainties related to demand, sale prices, land costs, unsold inventories, and regulatory and local government risks (authorizations, occupancy permits, etc.), which increase the investors' perceived risk. It is necessary to have good expertise of a constantly changing regulations on rent, taxes, project licenses, etc., which increases the administrative costs of projects.1 Examples of buildings with their occupancy permits revoked even after being already issued are frequent in the sector. Simultaneous and sequential investments are common in the real estate market. The first strategy is usually implemented during periods of increasing demand and implies lower construction costs but, in turn, carries more uncertain returns. Bitter experiences with residential housing developments and mega-entertainment resorts that started simultaneously, have generated profits only after five or more years of construction. On the other hand, sequential strategies face the risks in sequence, with relatively smaller increments at every phase of the project, but at the expense of higher construction costs. However, in order to take full advantage of the sequential strategy, real estate enterprises must own the land for future developments or possess the exclusive rights on the serviceable land2 (a less capital intensive alternative). Sequentiality of investment introduces several characteristics common in option pricing, i.e., decisions that can or cannot be exercised by the housing developer in the future. The most relevant real options found in this kind of projects are: • Information option. How the success/failure of the first construction phase (first launch) will affect the performance and expectations of the next development phases. • Waiting option. For the next phase of the construction if the market does not positively receive the previous launch. • Abandonment option. In case of high cost/benefit ratio. Real option theory provides a methodology to better value investment projects in the presence of these managerial flexibilities. A detailed description of the different types and methodologies can be found in Dixit and Pindyck (1994) and Trigeorgis (1999). Also, Schwartz and Trigeorgis (2004) include classical readings where real options have been applied in several investment projects to account for the value of flexibility where traditional net present value (NPV) is unable to. Trigeorgis (1993) studied the interaction among several real options embedded in a single project, showing the non-additivity principle of their individual values. Lander and Pinches (1998) identified the lack of mathematical skills, restrictive modeling assumptions, and increasing complexity as the main obstacles to the practical implementation of the real options approach. Past failures and increasing uncertainties have also led real estate management to intuitively apply real options concepts. This essay develops a real options model for investment analysis in real estate that determines both the optimal investment strategy (simultaneous vs. sequential), by identifying the critical cost/m2 where there is no incentive for a housing development in stages, and the optimal investment timing. The methodology improves the risk management of the project and quantifies the maximum price to be paid for the exclusive rights on the serviceable land. During the last years it has been common to see that developments are not constructed simultaneously at once but sequentially in several phases in order to reduce the risk exposure. Thus, Quigg (1993) has provided empirical evidence of the descriptive value of the option to wait based on actual real estate transactions in the US. Titman (1985) argued that the existence of several empty lots, but of high sale price, in West Los Angeles was due to the presence of an option to wait, i.e., the future potential of the lot was more valuable than its immediate use for construction. Capozza and Sick (1994) showed that agricultural landowners have the option to convert their property into urban land suitable for real estate developments, and the optimal conversion rule depends on the distance to urban areas. Williams (1991) studied the optimal timing for development and abandonment of the property as well as the optimal density in the presence of uncertainties about price/m2 and cost/m2. Capozza and Li (1994) focused on how the density and capital intensity choices interact with the timing and value of residential or commercial developments. Grenadier (1995) determined the intertemporal optimal mix of tenants in shopping centers, where the landlord has both options to increase or decrease the current mix with exercise prices being the cost of mix adjustments. He showed that the difference between the dynamic and static strategies was the value added by the embedded options. Finally, Grenadier (1996) introduced the option game concepts to explain the behavior of real estate markets, linking the investment timing in strategic equilibrium to the boost or slowdown in development activity. Unlike the previous studies, where a stochastic price was obtained by using a demand function with stochastic shocks, demand is introduced here via sales speed, a typical variable in the housing sector that defines how fast the project's units will be sold. Thus, the combination of simulation in sales speed with the stochastic price modeling common in real options allows the introduction of several sources of uncertainty without significantly increasing complexity (which inexorably appears in the case of two or more stochastic variables). The article is organized as follows. In Section 2, the option pricing model for the evaluation of sequential investments under several uncertainties is presented. Section 3 applies the methodology to a real estate investment, showing the main results and providing guidance for optimal decision-making. Section 4 concludes and two Appendixes provide mathematical details for the optimal investment timing and development probability.

Real estate investments are characterized as being capital intensive, low in liquidity and slow in payback while suffering from several uncertainties regarding demand, sale price/m2, land cost, etc. that increase the risk perceived by investors. Several options such as information acquisition, deferral and abandonment of the project are usual in the sector that, if properly managed, may increase the value of the investment and reduce its risk exposure. This study shows how the real options methodology can improve the economic analysis of real estate investments and support the decision-making process by managing the different options and uncertainties embedded in the project. The model developed here identifies the optimal strategy and timing for simultaneous or sequential investments, discusses issues related to risk management of the project and determines the maximum amount to be paid for the exclusive rights to the serviceable land. The methodology is applied to a housing investment in Rio de Janeiro, where the sequential strategy increased the value of the project by 10% while reducing the risk exposure by more than half compared to the traditional discounted cash flow methodology. These values cannot be neglected in a market that involves high sunk costs, high economic uncertainty and falling margins. In practice, many real estate enterprises have intuitively already implemented the concept of options in their investment appraisals. However, it is important to establish a managerial culture in order to quantify the value of these options objectively, to enhance the value of the project and to provide effective management and risk assessment.