Empirical analysis of traffic volume for the application of the options theory to highway concessions

Cabero Colín, Fernando and Sánchez Soliño, Antonio and Lara Galera, Antonio Lorenzo (2013). Empirical analysis of traffic volume for the application of the options theory to highway concessions. In: "13th World Conference on Transportation Research (WCTR)", 15/07/2013 - 18/07/2013, Rio de Janeiro (Brasil). pp..

Description

Title: Empirical analysis of traffic volume for the application of the options theory to highway concessions
Author/s:
  • Cabero Colín, Fernando
  • Sánchez Soliño, Antonio
  • Lara Galera, Antonio Lorenzo
Item Type: Presentation at Congress or Conference (Article)
Event Title: 13th World Conference on Transportation Research (WCTR)
Event Dates: 15/07/2013 - 18/07/2013
Event Location: Rio de Janeiro (Brasil)
Title of Book: Proceedings of the 13th World Conference on Transport Research (WCTR), July 15-18, 2013 Rio de Janeiro, Brazil
Date: July 2013
Subjects:
Faculty: E.T.S.I. Caminos, Canales y Puertos (UPM)
Department: Ingeniería Civil: Construcción
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

*************************************************************************************** EL WCTR es un Congreso de reconocido prestigio internacional en el ámbito de la investigación del transporte que hasta el 2010 publicaba sus libros de abstracts con ISBN. Por ello consideramos que debería seguir teníendose en cuenta para los indicadores de calidad ******************************************************************************************* Investment projects in the field of transportation infrastructures have a high degree of uncertainty and require an important amount of resources. In highway concessions in particular, the calculation of the Net Present Value (NPV) of the project by means of the discount of cash flows, may lead to erroneous results when the project incorporates certain flexibility. In these cases, the theory of real options is an alternative tool for the valuation of concessions. When the variable that generates uncertainty (in our case, the traffic) follows a random walk (or Geometric Brownian Motion), we can calculate the value of the options embedded in the contract starting directly from the process followed by that variable. This procedure notably simplifies the calculation method. In order to test the hypothesis of the evolution of traffic as a Geometric Brownian Motion, we have used the available series of traffic in Spanish highways, and we have applied the Augmented Dickey-Fuller approach, which is the most widely used test for this kind of study. The main result of the analysis is that we cannot reject the hypothesis that traffic follows a Geometric Brownian Motion in the majority of both toll highways and free highways in Spain.

More information

Item ID: 30241
DC Identifier: http://oa.upm.es/30241/
OAI Identifier: oai:oa.upm.es:30241
Official URL: http://www2.wctr2013rio.com/
Deposited by: Memoria Investigacion
Deposited on: 10 Jul 2014 10:41
Last Modified: 17 Apr 2018 15:32
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