REITs折溢价与风险影响因素分析  

Analysis of Discount or Premium as well as Risk Effect Factors of REITs

作　　者：王鹏飞 宋恒旭 易平 Wang Pengfei;Song Hengxu;Yi Ping

机构地区：[1]北京大学汇丰商学院,广东深圳518055 [2]深圳市鼎程保理有限公司,广东深圳518055

出　　处：《证券市场导报》2022年第12期57-67,共11页Securities Market Herald

基　　金：国家自然科学基金项目“基于异质微观主体的复杂宏观经济理论与方法”(批准号:72150003)。

摘　　要：不动产投资信托基金(REITs)发行与交易中的折溢价现象在境外市场中广泛存在,其背后揭示了REITs产品独特的风险逻辑。本文的理论分析指出,REITs特异性的多层委托代理结构、底层资产与宏观经济的联动性以及金融投机行为所产生的风险可以帮助理解REITs的折溢价问题。基于此,本文选取和境内市场较为相近的中国香港与新加坡REITs市场为主要样本,构建了多元回归模型,对影响REITs一级和二级市场折溢价的潜在风险因素进行了实证分析。最后,本文还对比分析了目前境内REITs市场折溢价现象的特殊之处,并针对上述风险,为当下蓬勃发展的我国REITs市场提出了相应的政策建议。The phenomenon of discount or premium in the issuance and trading of Real Estate Investment Trusts(REITs) widely exists in overseas markets, revealing the unique risk characteristics of REITs. The theoretical part of this paper shows that the risks arising from the multi-layer principal-agent structure, the linkage between the underlying assets and the macroeconomy, and speculative behaviors can help to understand such a phenomenon. Based on the above analysis, this paper selects the REITs markets in China’s Hong Kong and Singapore as the main samples and constructs a multiple regression model to empirically analyze the potential risk effect factors which affect discount or premium of the primary and secondary REITs markets. Finally, this paper also analyzes novel characteristics of the current Chinese REITs market and compares them with overseas markets. In terms of the above risks, this paper provides corresponding policy suggestions for the booming Chinese REITs market.

关 键 词：不动产投资信托基金 折溢价 风险分析 底层资产 

分 类 号：F832.5[经济管理—金融学]