我国港口资产证券化定价研究  

Research on the Pricing of China`s Port Asset Securitization

作　　者：王思远[1] 余思勤[1] 潘静静[2,3] 

机构地区：[1]上海海事大学经济管理学院,上海201306 [2]上海海事大学信息工程学院,上海201306 [3]福建农林大学交通与土木工程学院,福建福州350002

出　　处：《技术经济与管理研究》2016年第4期65-69,共5页Journal of Technical Economics & Management

基　　金：国家自然科学基金青年项目(71101088);国家自然科学基金面上项目(71471109);福建省社科规划项目(FJ2015C107)

摘　　要：资产证券化作为一项重要的融资工具,能够补充和完善我国港口融资体系,为解决港口融资难题提供有益帮助。文章基于资产证券化理论和资产证券化的定价原理,对港口资产证券化产品定价进行了研究,梳理了我国港口资产证券化的具体影响因素和证券化定价的相关模型,探索了我国特定的市场环境下港口资产证券化定价方法。通过建立静态利差模型,对天津港港口资产证券化产品进行实证分析。通过实证模型为港口资产确定一个客观合理的价格,根据我国港口的资产特征和证券化模式建立了适当的定价模型。研究结果表明,GARCH-M模型能够对权益类港口资产证券化产品的风险溢价进行较好的衡量,静态利差模型能够对港口资产证券化进行合适的定价。文章寻求适合国内实际情况的港口资产证券化定价方法,为我国港口融资的快速发展提供理论参考。As an important financing tool, asset securitization improves financing system for port in China, and helps to solve the financing problems of the port. Based on the theory of securitization and asset securltization pricing, this paper studies the pricing of port asset securitization, factors of asset securitization of Chinese port and models of asset securitization pricing, exploring asset securitization pricing method of port in china. The Static Spread model is established to analyze asset securitization products of Tianjin Port. The empirical model determines a reasonable price for port assets and it is an appropriate pricing model for the ports in China. The results show that GARCH-M model can better discribe the risk premium of equity asset securitization products of port and the Static Spread model performs well in the pricing of port asset securitization. This paper finds the proper way for the pricing of port asset securitization in china and provides a theoretical reference for the development of port financing.

关 键 词：港口融资 资产证券化 风险溢价 定价模型 

分 类 号：F540[经济管理—产业经济]