次贷危机背景下中国房地产投资信托基金研究
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摘要
近年来,在中国境内引入REITs产品一直是业界与学术界讨论的热点问题。本文以美国次贷危机为背景,在总结归纳出次贷危机在产品创新方面的经验教训后,着重研究REITs作为证券化的不动产所兼具的双重特质,为中国推出REITs产品提供理论依据。同时,本文还对中国房地产市场的发展历程进行梳理,总结归纳出房地产市场中的主要问题,并通过问卷调查的方式研究中国投资者对REITs产品的投资意愿及其影响因素,为中国REITs产品的推出提供现实依据。最后,基于前述的理论与现实依据,本文设计出符合国情的交易所市场REITs产品发展模式。本文的研究内容主要涉及美国次贷危机的经验教训、REITs产品双重特质研究、REITs在中国的需求研究以及交易所市场REITs产品发展模式研究等。论文的主要工作及结论如下:
首先,本文对美国爆发的次贷危机的成因及经验教训进行深入分析。研究发现,在各国储蓄率的严重差异导致国际贸易体系失衡、国际货币体系的缺陷导致国际贸易失衡难以及时纠正,以及现行国际货币体系对发达国家货币政策缺乏约束等国际背景下,低利率政策推动其房地产市场长期牛市,房地产价格上涨和金融创新推动次级房贷快速膨胀,而庞大的资产证券化市场进一步扩散了次级房贷的风险,从而导致次贷危机爆发;房地产泡沫破裂成为次贷危机爆发的导火线,如果说资产证券化市场的多级次贷产品创新成为金融危机的传导链,自由放任的监管理念则是次贷危机爆发的催化剂。从美国次贷危机中可以得到这样的经验教训,即交易所市场是衍生产品市场的基础,是管理和控制金融风险的关键环节,在金融创新中发挥着不可替代的作用;现代金融体系的监管更应当强化功能监管和事前监管。
其次,本文从模型推导与实证检验两方面探讨REITs的双重特质,模型推导的结果表明, REITs价格不仅仅受其内在价值的影响,即受房地产市场的具体运行状况影响,而且,REITs价格还受到证券市场的运行状况影响。因此,REITs在证券市场上自由交易时,REITs价格不但与房地产市场价格成正相关,也受股票市场价格波动影响,表明REITs的价格行为兼具房地产与股票的双重特质。同时,利用美国、日本与新加坡的相关数据进行实证分析,实证结果表明,REITs与证券市场之间存在显著的双向G ranger因果关系,而且,无论是短期内还是长期内,REITs与房地产市场之间也均存在显著的双向Granger因果关系,因此,综合REITs同证券市场以及房地产市场之间的关系,可以发现,REITs兼具了证券资产与不动产的双重特质。
再次,本文还以问卷调查方式研究中国境内市场潜在需求者对REITs产品的投资意愿及重点考虑的因素。实证结果发现,对于一般投资者而言,房地产市场、流动性、小额投资、优惠性、安全性、报酬率、规模大小、标的物(租金)市场风险、年龄及经历等因素显著影响其购买受益证券的意愿。具体而言,在总体因素方面,投资者认为房地产市场情况越乐观,则其购买REITs的概率会越大;在证券化产品因素方面,投资者对REITs小额投资重视程度越高、优惠性项目越充分、安全性越高、报酬率越高,则其选择购买REITs的概率也会相对较高;在标的物属性方面,投资者越在意REITs本身的属性,受益证券的标的物(租金)市场风险越小,投资者选择购买REITs的概率也越高;在投资者属性方面,投资者年龄越年轻,选择购买REITs可能性也越高,且投资者在不动产与金融方面的经历越久,购买意愿也越大。总体而言,当前中国境内已经具备推出REITs产品的现实基础。
最后,基于美国次贷危机的启示以及中国境内市场的实际情形,建议在交易所市场推出REITs产品,不但有利于中小投资者分享中国经济高速增长的成果、优化资本市场产品结构、分散社会风险和金融风险、优化机构投资者的资产配置,而且也有利于提高房地产资产的管理水平。从中国目前的市场条件和风险控制需要出发,REITs产品适宜采取在交易所上市的公募契约型封闭式基金形式,以优质的工商业地产作为标的资产,采用资产分离、专业管理的运营模式,在在其存续期内,投资者只可转让持有的基金份额,而不可以赎回。但为了能使其不失时机地吸纳优质物业,按照国际惯例,REITs成立一段时期之后,还应赋予其根据市场情况可以灵活地选择时机和规模进行增发的功能,即REITs宜采取半封闭式的运作方式。
结合本文的研究对象、研究内容与研究方法,本文可能存在的创新点主要体现在以下三点。
第一,国内首次研究REITs产品的双重特质问题(研究对象创新)。本文首次从理论与经验证据两方面研究REITs的双重特质,利用境外成熟市场与新兴市场数据进行实证分析,证明REITs产品同不动产市场及证券市场之间存在紧密的内在联系。
第二,国内首次采用问卷调查方法研究引入REITs产品的可行性问题(研究方法创新)。本文首次向REITs产品的潜在投资者发放调查问卷,并利用调查问卷获取的数据分析中国引入REITs产品的可行性及相关影响因素。
第三,国内首次利用推出REITs产品的理论依据与现实依据研究交易所市场REITs产品的发展模式(研究内容创新)。本文首次基于次贷危机的经验教训、REITs产品的双重特质以及境内引入REITs产品可行性,设计出交易所市场REITs产品的发展模式。
In recent years, introducing Real Estate Investment Trusts (REITs) into China market has been a hot issue among industrial professionals and academican. Given the background of American subprime mortgage crisis, this dissertation focuses on the dual characteristics of REIT as a securitized real estate and provides a theoretical basis for the launch of REITs in China after summing up the lessons of subprime crisis regarding product innovation. At the same time, this dissertation also sorts out the development process of China's real estate market, sums up the main issues of the real estate market, and provides a practical basis for the introduction of REITs into China through a questionnaire survey on the willingness of Chinese investors to invest in REITs and factors that influence their investment decisions. Finally, based on the theoretical basis and practical basis for China's launch of REITs, this dissertation designs a development model of REITs in exchange markets that is in line with domestic conditions. This study mainly deals with the lessons of U.S. subprime crisis, the dual characteristics of REITs, the demand of REITs in China, and the product development model of REITs in exchange markets. The main thesis and conclusions are as follows:
First of all, this dissertation conducts an in-depth analysis of the causes and lessons of U.S. subprime mortgage crisis. As found by this research, differences in national savings rates have led to a serious imbalance in the international trading system; deficiencies in the international monetary system have led to difficulties in promptly correcting imbalances in international trade; and the current international monetary system has failed to bind monetary policies in developed countries. Given such an international context, low interest rates promoted a long-term bull market in the U.S. real estate market; rising real estate prices and financial innovation promoted the rapid expansion of subprime mortgages; and a large asset securitization market further expanded the risk of subprime mortgages. As a result, subprime mortgage crisis broke out. The burst of real estate bubble became the fuse of the subprime crisis; the multi-level subprime mortgage product innovation became the transmission chain of the financial crisis; and the laissez-faire regulatory philosophy became the catalyst of the subprime crisis outbreak. A lesson learned from the U.S. subprime crisis is that exchange markets are the basis of derivatives markets and a key to financial risk management and control; they play an irreplaceable role in financial innovations. Modern supervision of the financial system should strengthen the supervision of its functionality and ex ante regulation.
Secondly, this dissertation discusses the dual characteristics of REITs from model derivation and empirical examination. The model derived results show that the prices of REITs are not only affected by their intrinsic value, that is, the specific conditions of the real estate market, but also affected by the conditions of stock markets. Therefore, when REITs are freely traded in a stock market, the prices of REITs are positively related to not only real estate prices, but also stock market prices, indicating that the pricing behavior of REITs has dual characteristics of both real estate and stock. At the same time, through an empirical analysis by using relevant information from the U.S., Japan, and Singapore, the empirical results show that REITs and the stock market have significant two-way Granger causation. In addition, regardless in the short term or long term, REITs and the real estate market also have significant two-way Granger causation. Therefore, after consolidating the relationship of REITs with the securities market and the real estate market, it can be found that REITs have dual characteristics of both securities and real estate assets.
Furthermore, this dissertation also uses a survey to study the willingness of potential domestic investors in China to invest in REITs and key factors of their consideration. Empirical results show that, for general investors, their willingness to purchase beneficiary securities is significantly influenced by factors such as the real estate market, liquidity, small investments, premium, security, rates of return, scale, market risk of the subject matter i.e. rent, age, and experience. In particular, regarding the overall factors, if the investors are more optimistic about the real estate market, the probability for them to purchase REITs is greater. Regarding securitization factors, if the investors pay greater attention to small investments of REITs and if there are more preferential options, more adequate security, and a higher rate of return, then the probability of their choice to buy REITs is relatively higher. Regarding the nature of subject matter, if the investors are more concerned about the nature of REITs and if the subject matter of beneficiary securities i.e. rent has less market risk, the probability of investors’choice to buy REITs is higher. Regarding the nature of investors, if the investors are younger, the probability of their choice to buy REITs is higher. In addition, if the investors have more experiences in real estate and finance, their willingness to purchase is also greater. Overall, China has had a realistic basis for the launch of REITs.
Finally, based on the lessons of U.S. subprime crisis and the actual situation of the domestic market in China, this dissertation proposes the introduction of REITs in exchange markets. This will not only benefit small and medium investors and allow them to share the results of China's rapid economic growth, optimize the product structure of capital markets, distribute social and financial risks, optimize the asset allocation of institutional investors, but also enhance the management of real estate assets. Starting from China's current market conditions and demand for risk control, it is more appropriate to have REITs publicly offered in the securities exchange as contract-based, closed-end funds, using high-quality commercial and industrial real estate as the underlying assets and adopting a professional business model of asset-separation . During the terms of REITs, investors can only transfer the amount of funds they hold and can not redeem the REITs. However, in order to promptly attract high-quality property and to comply with international practice, REITs shall be given more flexibility in the choice of timing and scale for additional issuance according to market conditions after being established for a certain period of time; in other words, REITs should adopt a semi-closed mode of operation.
Summing up the research object, content, and methodology of this dissertation, the innovative value of this dissertation may include the following:
First of all, this is the first domestic research on the problems of the dual characteristics of REITs (innovation of research object). This is the first time for a study to discuss the dual characteristics of REITs from both theoretical and empirical evidence, use data of mature outside markets and emerging markets to conduct an empirical analysis, and prove the close intrinsic link among REITs, the real estate market, and the stock market.
Secondly, this is the first time for a study to use a questionnaire survey to discuss the feasibility of introducing REITs (innovation of research methodology). The author is the first one to distribute survey questionnaires to potential investors of REITs and to analyze the feasibility of introducing REITs into China and related factors by using the data obtained from the survey.
Thirdly, this is the first time for a study to research the development model of REITs (innovation of research content) by using the theoretical and practical basis of REITs. This dissertation is the first one to design a development model for REITs in exchange markets based on lessons learned from the U.S. subprime crisis, the dual characteristics of REITs, and the feasibility of introducing REITs into China.
首先,本文对美国爆发的次贷危机的成因及经验教训进行深入分析。研究发现,在各国储蓄率的严重差异导致国际贸易体系失衡、国际货币体系的缺陷导致国际贸易失衡难以及时纠正,以及现行国际货币体系对发达国家货币政策缺乏约束等国际背景下,低利率政策推动其房地产市场长期牛市,房地产价格上涨和金融创新推动次级房贷快速膨胀,而庞大的资产证券化市场进一步扩散了次级房贷的风险,从而导致次贷危机爆发;房地产泡沫破裂成为次贷危机爆发的导火线,如果说资产证券化市场的多级次贷产品创新成为金融危机的传导链,自由放任的监管理念则是次贷危机爆发的催化剂。从美国次贷危机中可以得到这样的经验教训,即交易所市场是衍生产品市场的基础,是管理和控制金融风险的关键环节,在金融创新中发挥着不可替代的作用;现代金融体系的监管更应当强化功能监管和事前监管。
其次,本文从模型推导与实证检验两方面探讨REITs的双重特质,模型推导的结果表明, REITs价格不仅仅受其内在价值的影响,即受房地产市场的具体运行状况影响,而且,REITs价格还受到证券市场的运行状况影响。因此,REITs在证券市场上自由交易时,REITs价格不但与房地产市场价格成正相关,也受股票市场价格波动影响,表明REITs的价格行为兼具房地产与股票的双重特质。同时,利用美国、日本与新加坡的相关数据进行实证分析,实证结果表明,REITs与证券市场之间存在显著的双向G ranger因果关系,而且,无论是短期内还是长期内,REITs与房地产市场之间也均存在显著的双向Granger因果关系,因此,综合REITs同证券市场以及房地产市场之间的关系,可以发现,REITs兼具了证券资产与不动产的双重特质。
再次,本文还以问卷调查方式研究中国境内市场潜在需求者对REITs产品的投资意愿及重点考虑的因素。实证结果发现,对于一般投资者而言,房地产市场、流动性、小额投资、优惠性、安全性、报酬率、规模大小、标的物(租金)市场风险、年龄及经历等因素显著影响其购买受益证券的意愿。具体而言,在总体因素方面,投资者认为房地产市场情况越乐观,则其购买REITs的概率会越大;在证券化产品因素方面,投资者对REITs小额投资重视程度越高、优惠性项目越充分、安全性越高、报酬率越高,则其选择购买REITs的概率也会相对较高;在标的物属性方面,投资者越在意REITs本身的属性,受益证券的标的物(租金)市场风险越小,投资者选择购买REITs的概率也越高;在投资者属性方面,投资者年龄越年轻,选择购买REITs可能性也越高,且投资者在不动产与金融方面的经历越久,购买意愿也越大。总体而言,当前中国境内已经具备推出REITs产品的现实基础。
最后,基于美国次贷危机的启示以及中国境内市场的实际情形,建议在交易所市场推出REITs产品,不但有利于中小投资者分享中国经济高速增长的成果、优化资本市场产品结构、分散社会风险和金融风险、优化机构投资者的资产配置,而且也有利于提高房地产资产的管理水平。从中国目前的市场条件和风险控制需要出发,REITs产品适宜采取在交易所上市的公募契约型封闭式基金形式,以优质的工商业地产作为标的资产,采用资产分离、专业管理的运营模式,在在其存续期内,投资者只可转让持有的基金份额,而不可以赎回。但为了能使其不失时机地吸纳优质物业,按照国际惯例,REITs成立一段时期之后,还应赋予其根据市场情况可以灵活地选择时机和规模进行增发的功能,即REITs宜采取半封闭式的运作方式。
结合本文的研究对象、研究内容与研究方法,本文可能存在的创新点主要体现在以下三点。
第一,国内首次研究REITs产品的双重特质问题(研究对象创新)。本文首次从理论与经验证据两方面研究REITs的双重特质,利用境外成熟市场与新兴市场数据进行实证分析,证明REITs产品同不动产市场及证券市场之间存在紧密的内在联系。
第二,国内首次采用问卷调查方法研究引入REITs产品的可行性问题(研究方法创新)。本文首次向REITs产品的潜在投资者发放调查问卷,并利用调查问卷获取的数据分析中国引入REITs产品的可行性及相关影响因素。
第三,国内首次利用推出REITs产品的理论依据与现实依据研究交易所市场REITs产品的发展模式(研究内容创新)。本文首次基于次贷危机的经验教训、REITs产品的双重特质以及境内引入REITs产品可行性,设计出交易所市场REITs产品的发展模式。
In recent years, introducing Real Estate Investment Trusts (REITs) into China market has been a hot issue among industrial professionals and academican. Given the background of American subprime mortgage crisis, this dissertation focuses on the dual characteristics of REIT as a securitized real estate and provides a theoretical basis for the launch of REITs in China after summing up the lessons of subprime crisis regarding product innovation. At the same time, this dissertation also sorts out the development process of China's real estate market, sums up the main issues of the real estate market, and provides a practical basis for the introduction of REITs into China through a questionnaire survey on the willingness of Chinese investors to invest in REITs and factors that influence their investment decisions. Finally, based on the theoretical basis and practical basis for China's launch of REITs, this dissertation designs a development model of REITs in exchange markets that is in line with domestic conditions. This study mainly deals with the lessons of U.S. subprime crisis, the dual characteristics of REITs, the demand of REITs in China, and the product development model of REITs in exchange markets. The main thesis and conclusions are as follows:
First of all, this dissertation conducts an in-depth analysis of the causes and lessons of U.S. subprime mortgage crisis. As found by this research, differences in national savings rates have led to a serious imbalance in the international trading system; deficiencies in the international monetary system have led to difficulties in promptly correcting imbalances in international trade; and the current international monetary system has failed to bind monetary policies in developed countries. Given such an international context, low interest rates promoted a long-term bull market in the U.S. real estate market; rising real estate prices and financial innovation promoted the rapid expansion of subprime mortgages; and a large asset securitization market further expanded the risk of subprime mortgages. As a result, subprime mortgage crisis broke out. The burst of real estate bubble became the fuse of the subprime crisis; the multi-level subprime mortgage product innovation became the transmission chain of the financial crisis; and the laissez-faire regulatory philosophy became the catalyst of the subprime crisis outbreak. A lesson learned from the U.S. subprime crisis is that exchange markets are the basis of derivatives markets and a key to financial risk management and control; they play an irreplaceable role in financial innovations. Modern supervision of the financial system should strengthen the supervision of its functionality and ex ante regulation.
Secondly, this dissertation discusses the dual characteristics of REITs from model derivation and empirical examination. The model derived results show that the prices of REITs are not only affected by their intrinsic value, that is, the specific conditions of the real estate market, but also affected by the conditions of stock markets. Therefore, when REITs are freely traded in a stock market, the prices of REITs are positively related to not only real estate prices, but also stock market prices, indicating that the pricing behavior of REITs has dual characteristics of both real estate and stock. At the same time, through an empirical analysis by using relevant information from the U.S., Japan, and Singapore, the empirical results show that REITs and the stock market have significant two-way Granger causation. In addition, regardless in the short term or long term, REITs and the real estate market also have significant two-way Granger causation. Therefore, after consolidating the relationship of REITs with the securities market and the real estate market, it can be found that REITs have dual characteristics of both securities and real estate assets.
Furthermore, this dissertation also uses a survey to study the willingness of potential domestic investors in China to invest in REITs and key factors of their consideration. Empirical results show that, for general investors, their willingness to purchase beneficiary securities is significantly influenced by factors such as the real estate market, liquidity, small investments, premium, security, rates of return, scale, market risk of the subject matter i.e. rent, age, and experience. In particular, regarding the overall factors, if the investors are more optimistic about the real estate market, the probability for them to purchase REITs is greater. Regarding securitization factors, if the investors pay greater attention to small investments of REITs and if there are more preferential options, more adequate security, and a higher rate of return, then the probability of their choice to buy REITs is relatively higher. Regarding the nature of subject matter, if the investors are more concerned about the nature of REITs and if the subject matter of beneficiary securities i.e. rent has less market risk, the probability of investors’choice to buy REITs is higher. Regarding the nature of investors, if the investors are younger, the probability of their choice to buy REITs is higher. In addition, if the investors have more experiences in real estate and finance, their willingness to purchase is also greater. Overall, China has had a realistic basis for the launch of REITs.
Finally, based on the lessons of U.S. subprime crisis and the actual situation of the domestic market in China, this dissertation proposes the introduction of REITs in exchange markets. This will not only benefit small and medium investors and allow them to share the results of China's rapid economic growth, optimize the product structure of capital markets, distribute social and financial risks, optimize the asset allocation of institutional investors, but also enhance the management of real estate assets. Starting from China's current market conditions and demand for risk control, it is more appropriate to have REITs publicly offered in the securities exchange as contract-based, closed-end funds, using high-quality commercial and industrial real estate as the underlying assets and adopting a professional business model of asset-separation . During the terms of REITs, investors can only transfer the amount of funds they hold and can not redeem the REITs. However, in order to promptly attract high-quality property and to comply with international practice, REITs shall be given more flexibility in the choice of timing and scale for additional issuance according to market conditions after being established for a certain period of time; in other words, REITs should adopt a semi-closed mode of operation.
Summing up the research object, content, and methodology of this dissertation, the innovative value of this dissertation may include the following:
First of all, this is the first domestic research on the problems of the dual characteristics of REITs (innovation of research object). This is the first time for a study to discuss the dual characteristics of REITs from both theoretical and empirical evidence, use data of mature outside markets and emerging markets to conduct an empirical analysis, and prove the close intrinsic link among REITs, the real estate market, and the stock market.
Secondly, this is the first time for a study to use a questionnaire survey to discuss the feasibility of introducing REITs (innovation of research methodology). The author is the first one to distribute survey questionnaires to potential investors of REITs and to analyze the feasibility of introducing REITs into China and related factors by using the data obtained from the survey.
Thirdly, this is the first time for a study to research the development model of REITs (innovation of research content) by using the theoretical and practical basis of REITs. This dissertation is the first one to design a development model for REITs in exchange markets based on lessons learned from the U.S. subprime crisis, the dual characteristics of REITs, and the feasibility of introducing REITs into China.
引文
①《总体绩效不容乐观,房地产调控政策全面解析》,2008年2月14日,搜狐焦点网(house.focus.cn)。
②中国人民银行,《中国货币政策执行报告(二○○九年第二季度)》(www.pbc.gov.cn)。
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