基于Fama-French三因素模型的房地产信托收益影响因素研究

发布时间：2018-01-18 11:43

本文关键词：基于Fama-French三因素模型的房地产信托收益影响因素研究　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国经济和投资市场的不断发展，房地产信托逐渐成为了一种投资趋势。因为周期短、收益高，房地产信托被投资者广泛认可，而且被视为除了股票和债券之外非常重要的一种投资工具。然而，近年来房地产信托的兑付压力和兑付问题也逐渐显示出来。在这种背景下，研究房地产信托的收益问题，分析收益的相关影响因素，探讨房地产信托面临的问题，有重要意义。根据本文的研究背景和目的，本文的主要内容如下。首先，对国内外关于房地产信托收益的文献进行综述和分析，提出相关文献研究的不足，同时将可能的影响因素归结为宏观经济因素、行业市场因素和企业特征因素。其次，对我国房地产信托的运行模式和市场投资收益理论进行分析，，提出以Fama-French三因素模型为基础的房地产信托收益模型。同时，结合三大类因素的相关研究，选取了通胀、利率、货币供给和股市收益作为影响因素，提出相应的假设，构建不同的收益模型。最后对相关因素分别进行以三因素为基础的实证检验，并对本文的实证结果进行讨论。本文的实证结果显示，我国的房地产信托收益变动除了市场超额收益外，还存在房地产信托发行公司自身特征的影响。我国的房地产信托收益存在明显的公司规模size效应和账面市值book-to-market效应。同时，我国的房地产信托还受到市场利率、货币供给水平以及股票市场收益的影响。货币供给对收益的影响证明，我国的房地产信托收益一路走高和广义货币的增长有关。市场利率对收益产生巨大的影响，这说明我国的房地产信托收益过于依赖房地产开发和房地产信贷。本文认为，房地产信托发行公司应当加大对权益租赁的资金投向，减少募集资金对房地产开发的投资。同时国家应当控制市场货币供给保持适度增长，以适当宽松的货币政策来刺激投资环境，而一旦货币供给过度，就会造成货币流动性过剩，进一步导致了虚高的房地产信托收益。
[Abstract]:With the development of Chinese economy and investment market, real estate trust has become an investment trend. Because of short period and high income, real estate trust is widely recognized by investors. It is also seen as a very important investment vehicle in addition to stocks and bonds. However, in recent years, the repayment pressure and repayment problems of real estate trusts have gradually emerged. In this context. It is of great significance to study the income of real estate trust, analyze the related factors of income, and discuss the problems faced by real estate trust. According to the background and purpose of this paper, the main contents of this paper are as follows. Firstly, the domestic and foreign literature on the income of real estate trust is summarized and analyzed, and the deficiency of the related literature is put forward. At the same time, the possible factors can be attributed to macroeconomic factors, industry market factors and enterprise characteristics. Secondly, the operation mode of real estate trust and the theory of market investment return are analyzed. Put forward the real estate trust income model based on Fama-French three-factor model. At the same time, combined with the research of three kinds of factors, we select inflation and interest rate. Money supply and stock market returns as the influence factors, put forward the corresponding assumptions, build different income models. Finally, the relevant factors are tested based on three factors. And the empirical results of this paper are discussed. The empirical results of this paper show that the real estate trust income changes in China in addition to the market excess returns. There is also the impact of the real estate trust issuing company's own characteristics. The real estate trust income in our country has obvious size effect of company size and market value book-to-market effect of book value. At the same time. The real estate trust in our country is also affected by the market interest rate, the level of money supply and the return of stock market. The increase of real estate trust income in China is related to the growth of broad money, and the market interest rate has a great influence on the income, which indicates that the real estate trust income in our country is too dependent on real estate development and real estate credit. This paper holds that the real estate trust issuing company should increase the investment of equity lease and reduce the investment in real estate development. At the same time, the state should control the market money supply to maintain a moderate growth. To stimulate the investment environment with the appropriate loose monetary policy, and once the money supply is excessive, it will lead to the excess of money liquidity, which will further lead to the false real estate trust income.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.49;F224

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