基于前景理论的资产证券化模型与实证研究
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摘要
资产证券化是继银行借贷、债券、股票上市之后的一种新的技术经济项目融资模式,而期望效用理论等并不适用于基础设施之类的技术经济项目的资产证券化的投资决策,因而对其投资决策行为需要在前景理论等基础上做出新的探索；在理论上,归纳出行为经济学的前景理论的三个基本理论观点,并与资产证券化原理结合,构建资产证券化的三个重要模型。在实证上,以河南高速公路为例,分析其资产证券化的合理性、资产组合的优化、融资规模等问题。
基于前景理论的资本收益率测算模型与实证分析。资产证券化的前提是基础资产能够产生可以预期的稳定的现金流。概括出前景理论关于收益分配的现时收益与长期收益“均衡”的观点,建立资本所有者的分红(现期收益的一部分)和投资需求(把现期收益的另一部分用于投资,以获得长期收益)的测算模型,从而测算出固定资本存量的收益率。在实证上,建立河南高速公路资本存量的收益率模型,证明其有稳定的比较高的收益率,从而论证河南高速公路资产证券化的合理性。
基于前景理论的整体优化论,把空间关联价值引入资产组合(证券化的资产池)增值潜力和优化分析模型中。在理论上,归纳出前景理论的资产组合的整体优化论：综合考虑和优化现有财富、期望达到的财富水平、达到期望值的概率、对投资的安全性及增值潜力的欲望等因素。在实证上,建立具有空间关联的河南高速公路网(资产组合)的收费模型,进而推导出收费最优化条件下轿车流量、客车流量与各线路的空间连接强度之间的均衡关系,并进一步提出河南高速公路网的优化方案,以论证河南高速公路网是投资者可以选择的资产组合。
基于前景理论的资产证券化融资规模模型及实证分析。提出投资者和信用增级者利益分享的信用增级机制,并把前景理论的“投资参照论”引入资产证券化投资决策模型中。该模型表明,证券化融资的规模不仅取决于对预期的未来收益率与基于国库券利率的安全收益率的比较,也取决于投资者和信用增级者利益分享比例。信用增级者分享的收益与期望利差(预期收益率减去安全收益率)成正比。而通过河南高速公路资产证券化融资规模的实证分析,证明基于前景理论的资产证券化融资规模模型的正确性。
最后以河南高速公路为例,设计出河南省高速公路资产证券化路线图,提出信用增级、风险风范、制度创新等措施。
Asset securitization is a new technical and economic project financing mode after the bank loans, bonds and stocks, while the expected utility theory is not applicable to investment decision-making of asset securitization of technical and economic project such as infrastructure, therefore it needs to make new exploration on investment decision-making based on the prospect theory; In theory, we summarize the three basic theoretical perspectives of prospect theory, combine with the principles of asset securitization, and build three important model of asset securitization. In practice, taking Henan Highway as an example, analyzing the problem of rationality of asset securitization.
The calculation model and empirical analysis of capital return based on the prospect theory. The fundamental asset can be expected to produce the stable cash flow, which is the premise of asset securitization. Based on the theory of the prospect theory in behavioral economics, we established an equilibrium model between the dividend of capital owners (part of current income) and investment demand (investing the other part of the current income for long-term gains), which could calculate the return rate of fixed capital stock. Empirically, we established a model for Henan highway capital stock return rate to prove that they have relatively high and stable return rate, thus demonstrated the Securitization rationality of Henan Highway Asset.
We introduced the spatial association value into growth potential and optimization analysis of asset portfolio (the pool of securitized assets) based on the whole optimization view of Prospect theory. In theory, we summarized the whole optimization view of Prospect theory about asset portfolio:an integrated consideration and optimization of existing wealth, the wealth level that hopes to reach, the probability to expectations, investment security and the desire of growth potential and so on. In the empirical analysis, we established the fee model about Henan expressway network (asset portfolio) with spatial association, and then derived the flow quantity of cars, passenger trains, and the equilibrium relationship between the lines of space connecting intensity, we further proposed the optimization scheme of Henan expressway network as well, which demonstrate that Henan expressway network is the portfolio that investors can choose.
The financing scale model and empirical analysis of asset securitization based on the prospect theory. This article put forward a credit enhancement mechanism about benefit sharing between investor and credit enhancement, and then put "investment reference view" of prospect theory into investment decision-making model of asset securitization. This model indicated that the scale of the securitization financing not only depends on the comparison between the expected future earnings and the security gains based on Treasury Bills, but also depends on the design of benefit-sharing mechanisms between investor and credit enhancement. The benefit that is shared by the credit enhancement was proportional to interest rate of expectations (expected return minus the safety yield). The financing scale model that based on the prospect theory was proved to be correct through the empirical analysis on Henan Highway's financing scale of asset securitization.
Finally we put forward the measures that can promote the asset securitization of Henan highway. And we design a roadmap of the asset securitization of Henan highway, propose such as credit enhancement, risk style, system innovation and other measures.
基于前景理论的资本收益率测算模型与实证分析。资产证券化的前提是基础资产能够产生可以预期的稳定的现金流。概括出前景理论关于收益分配的现时收益与长期收益“均衡”的观点,建立资本所有者的分红(现期收益的一部分)和投资需求(把现期收益的另一部分用于投资,以获得长期收益)的测算模型,从而测算出固定资本存量的收益率。在实证上,建立河南高速公路资本存量的收益率模型,证明其有稳定的比较高的收益率,从而论证河南高速公路资产证券化的合理性。
基于前景理论的整体优化论,把空间关联价值引入资产组合(证券化的资产池)增值潜力和优化分析模型中。在理论上,归纳出前景理论的资产组合的整体优化论：综合考虑和优化现有财富、期望达到的财富水平、达到期望值的概率、对投资的安全性及增值潜力的欲望等因素。在实证上,建立具有空间关联的河南高速公路网(资产组合)的收费模型,进而推导出收费最优化条件下轿车流量、客车流量与各线路的空间连接强度之间的均衡关系,并进一步提出河南高速公路网的优化方案,以论证河南高速公路网是投资者可以选择的资产组合。
基于前景理论的资产证券化融资规模模型及实证分析。提出投资者和信用增级者利益分享的信用增级机制,并把前景理论的“投资参照论”引入资产证券化投资决策模型中。该模型表明,证券化融资的规模不仅取决于对预期的未来收益率与基于国库券利率的安全收益率的比较,也取决于投资者和信用增级者利益分享比例。信用增级者分享的收益与期望利差(预期收益率减去安全收益率)成正比。而通过河南高速公路资产证券化融资规模的实证分析,证明基于前景理论的资产证券化融资规模模型的正确性。
最后以河南高速公路为例,设计出河南省高速公路资产证券化路线图,提出信用增级、风险风范、制度创新等措施。
Asset securitization is a new technical and economic project financing mode after the bank loans, bonds and stocks, while the expected utility theory is not applicable to investment decision-making of asset securitization of technical and economic project such as infrastructure, therefore it needs to make new exploration on investment decision-making based on the prospect theory; In theory, we summarize the three basic theoretical perspectives of prospect theory, combine with the principles of asset securitization, and build three important model of asset securitization. In practice, taking Henan Highway as an example, analyzing the problem of rationality of asset securitization.
The calculation model and empirical analysis of capital return based on the prospect theory. The fundamental asset can be expected to produce the stable cash flow, which is the premise of asset securitization. Based on the theory of the prospect theory in behavioral economics, we established an equilibrium model between the dividend of capital owners (part of current income) and investment demand (investing the other part of the current income for long-term gains), which could calculate the return rate of fixed capital stock. Empirically, we established a model for Henan highway capital stock return rate to prove that they have relatively high and stable return rate, thus demonstrated the Securitization rationality of Henan Highway Asset.
We introduced the spatial association value into growth potential and optimization analysis of asset portfolio (the pool of securitized assets) based on the whole optimization view of Prospect theory. In theory, we summarized the whole optimization view of Prospect theory about asset portfolio:an integrated consideration and optimization of existing wealth, the wealth level that hopes to reach, the probability to expectations, investment security and the desire of growth potential and so on. In the empirical analysis, we established the fee model about Henan expressway network (asset portfolio) with spatial association, and then derived the flow quantity of cars, passenger trains, and the equilibrium relationship between the lines of space connecting intensity, we further proposed the optimization scheme of Henan expressway network as well, which demonstrate that Henan expressway network is the portfolio that investors can choose.
The financing scale model and empirical analysis of asset securitization based on the prospect theory. This article put forward a credit enhancement mechanism about benefit sharing between investor and credit enhancement, and then put "investment reference view" of prospect theory into investment decision-making model of asset securitization. This model indicated that the scale of the securitization financing not only depends on the comparison between the expected future earnings and the security gains based on Treasury Bills, but also depends on the design of benefit-sharing mechanisms between investor and credit enhancement. The benefit that is shared by the credit enhancement was proportional to interest rate of expectations (expected return minus the safety yield). The financing scale model that based on the prospect theory was proved to be correct through the empirical analysis on Henan Highway's financing scale of asset securitization.
Finally we put forward the measures that can promote the asset securitization of Henan highway. And we design a roadmap of the asset securitization of Henan highway, propose such as credit enhancement, risk style, system innovation and other measures.
引文
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