中国高速公路公募REITs价格影响因素的实证分析  

Empirical Analysis of the Factors Affecting the Price of China Expressway Public REITs

作　　者：羿丹鸿 Yi Danhong

机构地区：[1]清华大学五道口金融学院

出　　处：《投资研究》2024年第4期25-36,共12页Review of Investment Studies

摘　　要：近年来,中国公募REITs得到政策大力支持,市场发展迅速。本文选取最具代表性的高速公路REITs作为细分研究对象,运用量化方法,分析高速公路股票价格指数、10年期国债利率、Dr007三个因素对高速公路REITs价格变化的影响情况。总体来看,一是强股弱债是中国公募REITs的主要特征;二是利率对REITs价格的影响具有不均匀性和不对称性;三是中国公募REITs具有风险及收益中性特征,具备投资价值,未来REITs或能成为分散风险、优化投资组合的资产选择。本文的创新之处在于选取有针对性的数据对我国REITs的股债属性进行分析,并对其在资产配置中发挥的作用进行深入研究。In recent years,China Public REITs have received strong policy support and the market has developed rapidly.This paper selects the most representative highway REITs as the research object,and uses quantitative methods to analyze the impact of highway stock price index,10-year treasury bond interest rate,and Dro07 on the price of highway REITs.Based on the empirical results,Firstly,China Public REITs have strong stock attributes and weak bond attributes.Secondly,the impact of interest rates on the prices of REITs is uneven and asymmetric.Thirdly,China Public REITs have characteristics of risk and return neutrality,and have investment value.In the future,REITs may become asset choices for diversifying risks and optimizing investment portfolios.The innovation of this article lies in selecting targeted data to analyze the stock and bond attributes of REITs in China,and conducting preliminary discussions on their role in portfolio management.

关 键 词：公募REITs 高速公路 股票 债券 

分 类 号：F542[经济管理—产业经济] F832.51