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Custo de capital de distribuição de energia elétrica: revisão tarifária 2007/2009
[Cost of capital of electric energy distribution: tariff review procedure 2007/2009]


  • Camacho, Fernando
  • Rocha, Katia
  • Bragança, Gabriel


The current methodology adopted by the Aneel to estimate the rate of return (cost of capital) applied in the periodic tariff revision is improved via some modifications in the following parameters: country risk, exchange rate risk and regulatory risk. We recommend the global CAPM methodology with some adjustments for the specifics of the Brazilian electricity sector such as the addition of the total magnitude of the country risk premium, which the current regulation considers only partially. Such approach makes the correction for the exchange risk premium unnecessary. Since country risk is a volatile parameter presenting a continuing falling over the last 3 years, several scenarios are analyzed. The appropriate rate of return is estimated in real terms at 10.6% - 12.3%. The relevance of the rate of return adopted by the regulatory agency and the recognition that, in the long run, private investors have to recover the opportunity cost of capital(including the country, regulatory and project-specific risks) are crucial issues indiscussions over the best regulatory practices.

Suggested Citation

  • Camacho, Fernando & Rocha, Katia & Bragança, Gabriel, 2006. "Custo de capital de distribuição de energia elétrica: revisão tarifária 2007/2009
    [Cost of capital of electric energy distribution: tariff review procedure 2007/2009]
    ," MPRA Paper 5401, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:5401

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    References listed on IDEAS

    1. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    2. Pindyck Robert S., 2007. "Mandatory Unbundling and Irreversible Investment in Telecom Networks," Review of Network Economics, De Gruyter, vol. 6(3), pages 1-25, September.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    4. Hausman, Jerry & Myers, Stewart, 2002. "Regulating the United States Railroads: The Effects of Sunk Costs and Asymmetric Risk," Journal of Regulatory Economics, Springer, vol. 22(3), pages 287-310, November.
    5. Pereiro, Luis E., 2001. "The valuation of closely-held companies in Latin America," Emerging Markets Review, Elsevier, vol. 2(4), pages 330-370, December.
    6. Camacho, Fernando & Bragança, Gabriel & Rocha, Katia, 2005. "A remuneração de capital nas telecomunicações e o novo contexto regulatório brasileiro
      [The remuneration of capital in the telecommunications and the new Brazilian regulatory context]
      ," MPRA Paper 5399, University Library of Munich, Germany.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Camacho, Fernando, 2004. "Custo de capital de indústrias reguladas no Brasil
      [Cost of capital of regulated industries in Brazil]
      ," MPRA Paper 5396, University Library of Munich, Germany.
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    More about this item


    Custo de Capital; Distribuição de Energia; Revisão Tarifária;

    JEL classification:

    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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