本文選題：違約風(fēng)險(xiǎn)　切入點(diǎn)：未定權(quán)益分析法　出處：《河北大學(xué)》2016年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：房地產(chǎn)公司作為房地產(chǎn)行業(yè)的供給側(cè)主體,是房地產(chǎn)市場(chǎng)鏈條的起點(diǎn)也是危機(jī)傳導(dǎo)的第一站,研究房地產(chǎn)公司違約風(fēng)險(xiǎn)對(duì)于把控房地產(chǎn)行業(yè)風(fēng)險(xiǎn)水平,促進(jìn)房地產(chǎn)市場(chǎng)健康發(fā)展具有重要意義。本文先對(duì)房地產(chǎn)公司違約風(fēng)險(xiǎn)的影響因素進(jìn)行了分析,之后運(yùn)用了未定權(quán)益分析法,測(cè)算了我國(guó)主要房地產(chǎn)上市公司10年間每日違約概率以及違約距離,具有大樣本以及長(zhǎng)跨度的特點(diǎn),結(jié)果基本反映了中國(guó)房地產(chǎn)行業(yè)所有上市公司整體的違約風(fēng)險(xiǎn)水平及走勢(shì),并且在10年時(shí)間跨度內(nèi)觀測(cè)到了包括2008年的全球金融危機(jī)、四萬(wàn)億刺激、利率市場(chǎng)化改革等各種影響因素在內(nèi)的綜合作用結(jié)果。在測(cè)算結(jié)果中發(fā)現(xiàn)我國(guó)房地產(chǎn)公司違約概率在2006年至2015年間呈現(xiàn)出了先上升再下降的走勢(shì),并且在2014年3月達(dá)到了最高點(diǎn),之后快速下降,至2015年末已經(jīng)回落到2010年底時(shí)的水平,并呈現(xiàn)繼續(xù)下降的趨勢(shì)。本文同時(shí)使用平衡面板對(duì)影響因素進(jìn)行了實(shí)證分析,發(fā)現(xiàn)在房地產(chǎn)諸多影響因素中,城鎮(zhèn)化水平和貨幣供給對(duì)違約風(fēng)險(xiǎn)的影響較大,并且強(qiáng)于公司財(cái)務(wù)指標(biāo)因素;M2與違約風(fēng)險(xiǎn)呈現(xiàn)出負(fù)相關(guān)關(guān)系,說(shuō)明寬松的貨幣政策在推高資產(chǎn)價(jià)格方面的作用要強(qiáng)于刺激企業(yè)增加投資方面的作用;另外,房地產(chǎn)公司資本結(jié)構(gòu)和負(fù)債結(jié)構(gòu)與其違約風(fēng)險(xiǎn)之間相關(guān)性更強(qiáng),公司規(guī)模與違約風(fēng)險(xiǎn)之間呈現(xiàn)了顯著的負(fù)相關(guān)關(guān)系,盈利能力與營(yíng)運(yùn)能力影響相對(duì)較小。最后本文有針對(duì)性的提出了防范對(duì)策,建議政府在繼續(xù)實(shí)行寬松貨幣政策刺激投資拉動(dòng)經(jīng)濟(jì)的同時(shí)要注意防范資產(chǎn)泡沫風(fēng)險(xiǎn),嚴(yán)控政策底線,避免過(guò)度寬松;同時(shí)建議房地產(chǎn)企業(yè)優(yōu)化自身的資本結(jié)構(gòu)和負(fù)債結(jié)構(gòu),積極轉(zhuǎn)變?nèi)谫Y模式,主動(dòng)調(diào)整業(yè)務(wù)結(jié)構(gòu),更加注重企業(yè)發(fā)展的效益與質(zhì)量,建議通過(guò)并購(gòu)擴(kuò)大規(guī)模,而不是通過(guò)過(guò)度負(fù)債實(shí)現(xiàn)規(guī)模增長(zhǎng),最終導(dǎo)致違約風(fēng)險(xiǎn)的升高。
[Abstract]:As the supply-side main body of the real estate industry, real estate companies are the starting point of the real estate market chain and the first stop of crisis transmission. It is of great significance to promote the healthy development of the real estate market. This paper calculates the daily default probability and default distance of the main real estate listed companies in China for 10 years, which has the characteristics of large sample and long span. The result basically reflects the level and trend of the default risk of all listed companies in China's real estate industry as a whole. And over a 10-year period of time, the global financial crisis, including the 4 trillion stimulus, was observed in 2008. The combined effect of various factors, such as interest rate marketization reform, shows that the probability of default of real estate companies in China rose first and then decreased between 2006 and 2015. It reached its highest point in March 2014, then dropped rapidly, then dropped back to end of 2010 level on end of 2015, and showed a continuing downward trend. This paper also uses the balance panel to make empirical analysis of the influencing factors. It is found that the urbanization level and money supply have a greater impact on default risk in real estate, and that M _ 2 has a negative correlation with default risk than corporate financial index factor M _ 2. It shows that the role of loose monetary policy in driving up asset prices is stronger than that in stimulating enterprises to increase investment. In addition, the capital structure and debt structure of real estate companies are more closely related to their default risk. There is a significant negative correlation between company size and default risk, and the influence of profitability and operation capacity is relatively small. While continuing to implement loose monetary policies to stimulate investment and stimulate the economy, the government should pay attention to preventing the risk of asset bubbles, strictly control the bottom line of the policy, and avoid excessive easing. At the same time, it is suggested that real estate enterprises should optimize their own capital structure and debt structure. We should actively change the financing mode, adjust the business structure actively and pay more attention to the benefit and quality of the enterprise development. It is suggested that the scale should be expanded through M & A instead of excessive debt, which will eventually lead to the increase of default risk.
【學(xué)位授予單位】：河北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F299.233.4
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本文編號(hào)：1605426