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1、.TollRoadInvestmentUnderUncertainty1PhuongDoan&KanakPatel2March2010Abstract:Investmentintollroadnormallyinvolvesaportfolioofrealoptions.Wemodelaportfolioofrealoptionswithcostcontingencyandgovernmentsubsidyattheoperationstage.Wedemonstratethattheinvestme
2、ntvalueishighlysensitivetocostandrevenueuncertainties.Ournumericalexamplesuggeststhattheinvestmentvalueofriskyprojectishigherwhennetincomeguaranteeisusedinsteadofminimumrevenueguarantee.Keywords:Tollroadinvestment,realoptions,costjump,netincome,governme
3、ntguarantees.1IntroductionTherearetwomainsourcesofuncertaintiesinBuild-Operate-Transfer(BOT)roadin-vestment,namelycostandrevenueshortfall.Duringtheconstructionstage,BOTcon-cessionaireoftenfacescostoverrun,whichresultsinconstructiondelay.Thisuncertaintyc
4、anbedealtwithbycostcontingencyreserve.Alsoattheoperationstage,revenuecanbeadverselya ectedbyjumpsinrunningcost.CostmanagementisthereforemajorchallengeforeventhemostexperiencedBOTconcessionaire.InthecaseofChannelTunnelproject,thetotalinvestmentcostwasest
5、imatedat$2600millionin1985,however,whentheconstructionwascompletedin1994,thecompletionactualcostincurredin1994was$4650(in1985prices,Andersonetal.[2],Flyvbjerg[11]).Itobservedan80%costoverrun,and nancingcostswere140%higherthanforecast.Anotherexampleofcos
6、toverrunistheM6tollroadintheUnitedKingdom,whichhadanincreaseinconstructioncostfromtheintitialestimateof$485millionto$900milliononcompletion.InthePhilippines,theconstructionofSubic-Clark-TarlacExpressway1PaperworktopresentattheInternationalConferenceon"C
7、ontracts,Procurement,andPublic-PrivateArrangements",ParisSorbonne2010.PreliminaryandNotforquotation.2DepartmentofLandEconomy,UniversityofCambridge,19SilverStreet,CambridgeCB39EP,UnitedKingdom.Emails:ptd27@cam.ac.ukandkp10005@cam.ac.uk.1experiencedPhilip
8、pinepeso(P)5.1millionperdayduringthedelaysfromDecember2007toFebruary2008,whichrequiredP6.5billioninthesupplementfund.IntheUS,theavarageestimatedpercentagecostincreaseoverthewholecountrywas5.8%in2003,12.7%in2004and17.1%2005.Insome
