本文選題：違約風險　切入點：未定權益分析法　出處：《河北大學》2016年碩士論文　論文類型：學位論文

【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)市場鏈條的起點也是危機傳導的第一站,研究房地產(chǎn)公司違約風險對于把控房地產(chǎn)行業(yè)風險水平,促進房地產(chǎn)市場健康發(fā)展具有重要意義。本文先對房地產(chǎn)公司違約風險的影響因素進行了分析,之后運用了未定權益分析法,測算了我國主要房地產(chǎn)上市公司10年間每日違約概率以及違約距離,具有大樣本以及長跨度的特點,結果基本反映了中國房地產(chǎn)行業(yè)所有上市公司整體的違約風險水平及走勢,并且在10年時間跨度內(nèi)觀測到了包括2008年的全球金融危機、四萬億刺激、利率市場化改革等各種影響因素在內(nèi)的綜合作用結果。在測算結果中發(fā)現(xiàn)我國房地產(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,并且在2014年3月達到了最高點,之后快速下降,至2015年末已經(jīng)回落到2010年底時的水平,并呈現(xiàn)繼續(xù)下降的趨勢。本文同時使用平衡面板對影響因素進行了實證分析,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違約風險的影響較大,并且強于公司財務指標因素;M2與違約風險呈現(xiàn)出負相關關系,說明寬松的貨幣政策在推高資產(chǎn)價格方面的作用要強于刺激企業(yè)增加投資方面的作用;另外,房地產(chǎn)公司資本結構和負債結構與其違約風險之間相關性更強,公司規(guī)模與違約風險之間呈現(xiàn)了顯著的負相關關系,盈利能力與營運能力影響相對較小。最后本文有針對性的提出了防范對策,建議政府在繼續(xù)實行寬松貨幣政策刺激投資拉動經(jīng)濟的同時要注意防范資產(chǎn)泡沫風險,嚴控政策底線,避免過度寬松;同時建議房地產(chǎn)企業(yè)優(yōu)化自身的資本結構和負債結構,積極轉(zhuǎn)變?nèi)谫Y模式,主動調(diào)整業(yè)務結構,更加注重企業(yè)發(fā)展的效益與質(zhì)量,建議通過并購擴大規(guī)模,而不是通過過度負債實現(xiàn)規(guī)模增長,最終導致違約風險的升高。
[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.
【學位授予單位】：河北大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F299.233.4
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本文編號：1605426