基于实物期权的房地产投资基金资产价值研究
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摘要
在我国房地产业快速发展的进程中,需要一个包括房地产投资基金在内的发达和专业化的房地产金融体系。房地产投资基金直接面向房地产市场的资金供给,以拥有房地产权益和进行房地产抵押贷款为主要投资形式,致力于长期投资,追求稳定的收益和资产保值增值。房地产投资基金作为一个专业的机构投资者,需要有一套科学的、动态的资产价值评价技术和管理手段。
传统的房地产价值评估NPV方法,对未来预期收益进行时间价值贴现,根据贴现后的现值来评估资产价值,认为资产收益或价格的不确定性因素造成资产价值损失,并忽略资产管理的灵活性价值。静态的M-V投资组合理论从资产收益和方差两方面考察资产配置问题,但是对投资期内的资产动态特征考虑不足,资产收益中不包含不确定条件下期末资产处置选择权所形成的实物期权价值。对于致力长期投资的房地产投资基金而言,未来市场不确定性蕴含着投资收益的时机,资产价值的动态过程和资产管理的灵活性是实施积极的投资策略的基础。基于不确定性和管理灵活性的实物期权方法,是房地产投资基金进行资产价值发现和资产配置的科学的评估技术。
房地产投资与绝大多数实物资产投资决策一样,不同程度地具有三个基本特征:投资不可逆性,当环境或条件发生改变时,投资所形成的资产不能在不产生任何损失的前提下即时变现;房地产投资的未来收益是不确定的,这包括物业的租金收益的不确定性和物业价格动态变化的不确定性;房地产投资存在明显的时机选择性,在一定程度上存在一定时间范围内可以自由选择投资决策的余地。上述不可逆性、不确定性和延期决策的可能性是实物期权存在的基础,在未来不确定性条件下,投资选择权作为一种机会成本等同于期权价值,是资产价值的重要组成部分。
论文以房地产价格指数作为房地产实物期权的基础资产,假设价格指数作为一个市场价格水平的总体变化趋势的反映,服从连续时间的几何布朗随机过程,不同的物业类型的价格动态过程之间,具有一定的相关性。按照极大似然法参数估计,并进行χ2检验,在0.05显著水平下,1995-2006年中房上海城市综合指数、住宅和办公楼价格指数均服从几何布朗运动的假设,指数之间具有一定的相关性。
房地产是房、地合一的资产,我国依法实行国有土地有偿、有期限使用制度,
As real estate develops rapidly in China, it is of great demand that a professional and developed real estate financial system including the real estate investment funds (REITs) should be established. REITs, investing in the form of real property equity and mortgage asset, provide the real estate market with capital offering and are dedicated to long-term investment to purse steady returns and to insure capital increments. As professional institutional investors, REITs should establish a scientific evaluation and dynamic management system as compared with real estate developers.
The traditional NPV method discounts the future expected returns and makes evaluations on current asset value. It advocates that uncertainties in the future capital returns or prices will cause value deduction, and neglects the value of flexibility in asset management. The static portfolio Mean-Variance theory, though observing on the mean and variance of the profit in asset allocation, gives little weight to dynamic characteristics of asset during the period of investment. Furthermore, asset profits in the M-V model do not include the value of options value of asset disposal choice. To REITs, with its long-term dedication in investment, the uncertainties in future market possibly forecast great investment opportunities. The dynamic process of asset value variation and the flexibility in investment management constitute the basis of active investment strategy. Thus the real options approach affords REITS the scientific method in real property asset evaluation and allocation.
Coupled with most of the other real asset investment strategies, real estate investment consists of three fundamental characters. Irreversibility that real property asset can not be realized instantly without any loss due to changes in the uncertain environment; Uncertainties which comprise those dynamic changes in rental revenues or asset prices in the future; The flexibility of postponing decision or investing choice in real estate
传统的房地产价值评估NPV方法,对未来预期收益进行时间价值贴现,根据贴现后的现值来评估资产价值,认为资产收益或价格的不确定性因素造成资产价值损失,并忽略资产管理的灵活性价值。静态的M-V投资组合理论从资产收益和方差两方面考察资产配置问题,但是对投资期内的资产动态特征考虑不足,资产收益中不包含不确定条件下期末资产处置选择权所形成的实物期权价值。对于致力长期投资的房地产投资基金而言,未来市场不确定性蕴含着投资收益的时机,资产价值的动态过程和资产管理的灵活性是实施积极的投资策略的基础。基于不确定性和管理灵活性的实物期权方法,是房地产投资基金进行资产价值发现和资产配置的科学的评估技术。
房地产投资与绝大多数实物资产投资决策一样,不同程度地具有三个基本特征:投资不可逆性,当环境或条件发生改变时,投资所形成的资产不能在不产生任何损失的前提下即时变现;房地产投资的未来收益是不确定的,这包括物业的租金收益的不确定性和物业价格动态变化的不确定性;房地产投资存在明显的时机选择性,在一定程度上存在一定时间范围内可以自由选择投资决策的余地。上述不可逆性、不确定性和延期决策的可能性是实物期权存在的基础,在未来不确定性条件下,投资选择权作为一种机会成本等同于期权价值,是资产价值的重要组成部分。
论文以房地产价格指数作为房地产实物期权的基础资产,假设价格指数作为一个市场价格水平的总体变化趋势的反映,服从连续时间的几何布朗随机过程,不同的物业类型的价格动态过程之间,具有一定的相关性。按照极大似然法参数估计,并进行χ2检验,在0.05显著水平下,1995-2006年中房上海城市综合指数、住宅和办公楼价格指数均服从几何布朗运动的假设,指数之间具有一定的相关性。
房地产是房、地合一的资产,我国依法实行国有土地有偿、有期限使用制度,
As real estate develops rapidly in China, it is of great demand that a professional and developed real estate financial system including the real estate investment funds (REITs) should be established. REITs, investing in the form of real property equity and mortgage asset, provide the real estate market with capital offering and are dedicated to long-term investment to purse steady returns and to insure capital increments. As professional institutional investors, REITs should establish a scientific evaluation and dynamic management system as compared with real estate developers.
The traditional NPV method discounts the future expected returns and makes evaluations on current asset value. It advocates that uncertainties in the future capital returns or prices will cause value deduction, and neglects the value of flexibility in asset management. The static portfolio Mean-Variance theory, though observing on the mean and variance of the profit in asset allocation, gives little weight to dynamic characteristics of asset during the period of investment. Furthermore, asset profits in the M-V model do not include the value of options value of asset disposal choice. To REITs, with its long-term dedication in investment, the uncertainties in future market possibly forecast great investment opportunities. The dynamic process of asset value variation and the flexibility in investment management constitute the basis of active investment strategy. Thus the real options approach affords REITS the scientific method in real property asset evaluation and allocation.
Coupled with most of the other real asset investment strategies, real estate investment consists of three fundamental characters. Irreversibility that real property asset can not be realized instantly without any loss due to changes in the uncertain environment; Uncertainties which comprise those dynamic changes in rental revenues or asset prices in the future; The flexibility of postponing decision or investing choice in real estate
引文
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