摘要
水资源短缺是一个全球性的问题,再生水的开发利用可以有效地缓解和改善水资源短缺与经济发展、人民生活之间的矛盾,有利于环境的可持续发展,有利于构建节约型社会。但是目前,再生水项目建设运营中受到了一系列问题的制约,其中再生水行业基准收益率作为该行业重要的经济评价参数至今没有确定,致使再生水项目的融资能力,盈利能力、偿债能力等方面无法得到正确和客观的评价,在很大程度上阻碍了再生水项目的融资和建设。
本文的研究正是在这种背景下提出的,研究以国家自然科学基金重点资助项目—“西部干旱缺水地区水资源再生利用研究(N0.50138020)”为起点,并得到陕西省软科学项目—“再生水行业基准收益率及相关经济政策研究(NO.2008KR64)"、陕西省教育厅科研计划项目—“再生水行业基准收益率的实证研究(NO.07JK060)"等基金项目的资助。
论文针对再生水行业基准收益率这一问题进行研究,主要研究内容与研究成果有以下几个方面：
(1)再生水行业基准收益率研究的系统分析模型构建及再生水行业基准收益率研究关键因素的确定。论文基于系统论原理,结合资本结构理论和资产定价理论,研究了再生水行业基准收益率影响因素的系统构成,对构成再生水行业基准收益率研究的二级子系统——资本结构因素系统、权益资本收益率因素系统、债务资本成本因素系统进行了分析,首次构建了再生水行业基准收益率研究的系统分析模型,并确定了再生水行业基准收益率研究中的关键因素——资本结构及权益资本收益率。
(2)针对再生水行业的资本结构优化进行研究。采用资本结构影响因素分析的方法对影响再生水行业资本结构的盈利能力、公司规模、有形资产、税收、非债务税盾、公司成长性、股权结构、产品独特性、资产流动性、现金流量和抵押能力等十一个方面进行了分析,并就上述十一个影响因素与资本结构之间的相关关系提出假设,采用Pearson相关系数原理对所假设的变量进行相关性分析和多元线性回归分析后,首次确定再生水行业资本结构优化的关键因素为：有形资产(TANG)、非债务税盾(NDTS)、盈利能力(ROA)、资产流动性(AV)四个方面,这些变量在二次回归分析中均显著影响着资本结构(CS),是决定公司负债的主要因素,并且对资本结构的影响与论文提出的假设结论一致。论文建立了再生水行业的资本结构与关键因素之间的数量关系模型,采用相关上市公司财务数据求取决定再生水行业资本结构的四个关键因素值,进而对再生水行业资本结构的优化值进行了研究。
(3)运用从产业和市场两个层面出发的Fama-French三因素模型对再生水行业的权益资本收益率进行研究和确定。建立了从产业和市场两个层面出发的Fama-French三因素模型,对SMB(规模因素)和HML(价值因素)变量进行了经济释义,探讨了市场风险、市场价值和市场规模三个方面对再生水行业的适用性,并结合再生水状况对三因素模型中的“规模”因素进行了修正,之后首次构建了从产业和市场两个层面出发并考虑了SMB(规模因素)修正后的再生水行业权益资本收益率的Fama-French三因素研究模型。论文采用行业上市公司数据以及上海证券交易所、深圳证券交易所的交易数据首次进行了再生水行业市场组合数据及再生水行业三因素数据的构造,分析表明三因素之间不存在相关性,进而采用公开市场数据及研究模型对再生水行业权益资本收益率进行了实证研究。
(4)典型项目模拟实测及再生水行业基准收益率数值确定。论文针对北京高碑店污水处理厂水资源化再利用工程和北京酒仙桥污水处理厂中水回用工程两个再生水工程项目的财务数据,结合再生水资源行业的发展现状,确定模拟项目的基本财务数据,通过编制财务报表和财务分析得出模拟项目的基准收益率,从项目模拟实测的角度进一步验证了基于WACC结合Fama-French三因素模型的再生水行业基准收益率研究成果。同时,论文对比加权平均资本成本(WACC)结合Fama-French三因素模型以及项目模拟实测两种方法的研究成果,最终对再生水行业基准收益率取值进行了合理确定。
The shortage of water resources is a global problem, development and utilization of the reclaimed water can effectively relieve the contradiction between the shortage of water resources and people's life and economic development, and it benefits for the sustainable environment development and building-up a conservation-oriented society. But at present, the construction and operation of the reclaimed water project are facing a series of problems, eg. the reclaimed water industry IRR as the important economic evaluation parameter has not be defined yet which makes the financing capability, profitability, solvency etc of the reclaimed water project can't be evaluated properly and objective. This largely hampered the financing and the construction of reclaimed water project.
This research is put forward under this situation; the study started from the State Natural Science Foundation Monumental Project-"western drought water resources recycling research. (NO.50138020)", and this research is supported by the Shangxi Soft-science Project-"reclaimed water industry benchmark rate and related economic policy research. (2008KR64)" and Shangxi provincial research projects-"reclaimed water industry IRR of empirical studies (NO.07JK060).
The research is focus on the reclaimed water industry IRR, the main research contents and research achievements are the following aspects:
(1) The construction of the systematic analysis model to study the reclaimed water industry IRR and the ascertain of the water key factors to study the reclaimed water industry IRR. Based on systematic theory, combined with capital structure theory and capital asset pricing theory, the paper studies the system structure of the reclaimed water industry IRR. And the system structure contains the capital structure factors system, equity capital factors system and debt capital cost factors system. The paper first constructs the systematic analysis model to study the reclaimed water industry IRR and determines the key factors of the research-the capital structure and equity capital returns rate.
(2) The reclaimed water industry's capital structure optimization study. The paper uses the influential factors of affecting regeneration methods to analyze the profitability, firm size, tangible assets, taxation, the tax shields, debt equity structure and corporation growth, product uniqueness, liquidity, and puts forward a hypothesis between the eleven factors and the capital structure. With the Pearson correlation coefficient principle of hypothesis variable correlation analysis and multiple linear regression analysis, key factors for optimization of the capital structure of reclaimed water industry was defined as:tangible assets (TANG), the non-debt shields (NDTS), profitability (ROA), capital liquidity (AV), these four aspects in the second variable regression analysis were significantly affecting the capital structure (CS). They are the main factors which could decide capital structure. The influence on the capital structure is aline with the hypothesis conclusion mentioned in the paper. Paper established relationship model between the reclaimed water industry's capital structure and key factors, the relevant financial data of listed companies decide the reclaimed water industry capital structure, and four key elements of reclaimed water value of capital structure optimization value industry are studied.
(3) The research and ascertain of equity capital return of the reclaimed water industry was made by using the Fama and French three factors model which stands on two aspects of market and industry. The paper builds the Fama and French three factors model from two aspects of market and industry, explains SMB (size) and HML (value) variable of economic meaning, probes into the market risk, market value and the market scale to adopt the reclaimed water industry from three aspects, and modifies the "size" factor combining with the applicability of the model to the reclaimed water industry status, after these research the paper first constructs the new model form two aspects of market and industry and considering the SMB (size) amended. The paper uses the transaction data of listed companies', Shanghai stock exchange market and the Shenzhen stock exchange market to construct the data combination and the three factors of the reclaimed water industry, three factors of data analysis shows that three factors don't exist relationship, and the empirical study of the equity capital return is based on the open market data and the model of the reclaimed water industry.
(4) Typical project simulation test and the determination of reclaimed water industry IRR values. Based on the financial data of Beijing Gaopeidian reusing wastewater treatment project and Beijing Jiuxianqiao reclaimed water project, combining with development situation of the reclaimed water industry, the paper determines the basic financial data of simulation project, through the preparation of financial statements and financial analysis of simulation project, the paper gets the IRR rate of simulation project and the research results was verified by the project simulation test. At the same time, the paper compared the two research results in two different ways and finally affirms the reasonable values of the IRR of the reclaimed water industry.
引文
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