項(xiàng)目收益?zhèn)l(fā)行定價(jià)研究
發(fā)布時(shí)間：2018-05-25 16:09
本文選題：項(xiàng)目收益?zhèn)?/strong> + 市政收益?zhèn)?/strong>�。� 參考：《北京交通大學(xué)》2017年碩士論文
【摘要】：項(xiàng)目收益?zhèn)c特定工程項(xiàng)目緊密相關(guān),募集資金用于項(xiàng)目建設(shè)和運(yùn)營(yíng),債券本息的償還以項(xiàng)目未來收益為主。一方面,項(xiàng)目收益?zhèn)P(guān)注債項(xiàng)評(píng)級(jí)而非主體評(píng)級(jí),對(duì)發(fā)行人的要求更低從而適用范圍更廣;另一方面,地方政府不承擔(dān)項(xiàng)目收益?zhèn)闹苯觾斶�責(zé)任,符合“43號(hào)文”對(duì)地方政府規(guī)范融資的要求。項(xiàng)目收益?zhèn)诖_定發(fā)行價(jià)格時(shí)考慮了哪些因素,其定價(jià)過程是怎樣的,正是本文所要研究與解決的問題。研究項(xiàng)目收益?zhèn)l(fā)行現(xiàn)狀發(fā)現(xiàn),項(xiàng)目收益?zhèn)陌l(fā)行主體盈利性要求不高,期限無法完全匹配項(xiàng)目融資需求,債券信用評(píng)級(jí)集中在AA、AA+和AAA三種,債券發(fā)行以私募為主,募投項(xiàng)目近一半是棚戶區(qū)改造項(xiàng)目,為提高評(píng)級(jí)較為普遍地采用外部增信措施。項(xiàng)目收益?zhèn)捎貌居浗n方式進(jìn)行定價(jià),但該種定價(jià)機(jī)制的市場(chǎng)化程度弱于公開招標(biāo),可能會(huì)受到發(fā)行人和承銷商的主觀意見影響。將中央企業(yè)債、地方企業(yè)債和項(xiàng)目收益?zhèn)鶛M向?qū)Ρ劝l(fā)現(xiàn),三者發(fā)行利率大致依次上升,具體的影響因素需要進(jìn)一步探究。項(xiàng)目收益?zhèn)亩▋r(jià)依據(jù)風(fēng)險(xiǎn)溢價(jià)理論,先確定基準(zhǔn)利率,再從外部市場(chǎng)環(huán)境和債券自身因素兩個(gè)方面考慮債券發(fā)行利率的影響因素。在通過因素分析得出各個(gè)因素的影響路徑后,收集了 2014年11月至2017年5月間發(fā)行的57支項(xiàng)目收益?zhèn)瘮?shù)據(jù),運(yùn)用逐步多元回歸法進(jìn)行實(shí)證分析。研究發(fā)現(xiàn),我國(guó)項(xiàng)目收益?zhèn)陌l(fā)行利率主要受國(guó)債收益率、發(fā)行方式和信用評(píng)級(jí)影響。國(guó)債收益率反映債券市場(chǎng)融資的平均成本,對(duì)發(fā)行利率有正向影響;公募債券較私募債券因信息不對(duì)稱造成的風(fēng)險(xiǎn)更低,因而發(fā)行利率更低;信用評(píng)級(jí)越高表明項(xiàng)目質(zhì)量越好,發(fā)行利率越低。
[Abstract]:Project income bond is closely related to a specific project, raising funds for project construction and operation, and the repayment of principal and interest of the bond is based on the future income of the project. On the one hand, project income bonds focus on debt ratings rather than principal ratings, and the requirements for issuers are lower and therefore apply more broadly; on the other hand, local governments do not assume direct liability for repayment of project income bonds. In line with the "43" on the local government standard financing requirements. What factors have been taken into account in determining the issue price and what is the pricing process of the project income bond is exactly the problem to be studied and solved in this paper. After studying the present situation of project income bond issuance, it is found that the main body of project income bond issuance is not high profitability, the term can not exactly match the project financing demand, the bond credit rating is concentrated in three kinds: AAAAA and AAA, and the bond issuance is mainly private equity. Nearly half of the fundraising projects are shantytown projects, and external credit enhancement measures are widely used to improve ratings. Project income bonds are priced by bookkeeping and filing, but the marketization of this pricing mechanism is weaker than that of public bidding, which may be influenced by the subjective opinions of issuers and underwriters. By comparing the central enterprise debt, local enterprise debt and project income debt, it is found that the interest rates of the three issues rise in turn, and the specific influencing factors need to be further explored. According to the theory of risk premium, the pricing of project income bond is based on the benchmark interest rate, and then the influence factors of bond issuance interest rate are considered from two aspects: external market environment and bond itself. After getting the influence path of each factor through factor analysis, the data of 57 project income bonds issued from November 2014 to May 2017 are collected, and the empirical analysis is carried out by means of stepwise multiple regression method. It is found that the interest rate of China's project income bonds is mainly influenced by the bond yield, issuing method and credit rating. The yield of government bonds reflects the average cost of financing in the bond market and has a positive impact on the issuing interest rate; the public offering bonds have a lower risk caused by asymmetric information than private equity bonds, and therefore lower interest rates; the higher the credit rating, the better the quality of the project. The lower the issue interest rate.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51
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