基于随机利率的PPP项目无套利均衡估值

Non Arbitrage Equilibrium Valuation of PPP Project Based on Random Interest Rate

PPP项目估值是政府、社会资本和金融机构进行项目可行性决策的重要依据。本文通过文献研究发现政府文件所推荐的CAPM、WACC方法和理论界建议的实物期权方法存在参数动态变化而难以准确选择、估值误差的大小和方向难以判断等问题,容易造成决策失误并为主观操控评估结果留下空隙。针对使用者付费与可行性缺口补助PPP项目的收益-风险特征,本文构建了随机利率下PPP项目估值模型,通过案例研究发现该模型较WACC和实物期权能更好解释现实现象;通过敏感性分析和数值分析发现该模型具有与经典理论和实践经验较好的吻合性。该模型可作为政府、社会资本和金融机构优化PPP项目决策提供参考,并为计量实证和PPP定价进一步扩展研究提供了一个坚实的出发点。

PPP project valuation is an important part of decision-making for government,social capital and financial institutions.Through literature research,this paper finds that CAPM,WACC methods recommended by government documents and real option methods recommended by theorists have some problems,such as parameter dynamic changes,difficulty in choosing accurately,and judging the size and direction of valuation error,which easily lead to decision-making errors and leave gaps for subjective manipulation of evaluation results.According to the Risk&Return Analysis of PPP project based on user payment and feasibility gap subsidy,this paper constructs a PPP project valuation model under random interest rate.Through case study,it is found that this model can better explain the reality than WACC and real options;Through sensitivity analysis and numerical analysis,it is found that the model is in good agreement with the classical theory and practical experience.The model can be used as a reference for the government,social capital and financial institutions to optimize PPP project decision-making,and provide a solid starting point for the further expansion of empirical measurement and PPP pricing research.