租赁资产证券化定价影响因素实证研究

An Empirical Study on Factors Influencing the Pricing of Securitization of Leasing Assets

随着国家扶持政策的开展,我国的租赁行业发展迅速,但目前行业基础设施仍然处于建设阶段,融资受限、成本偏高的问题仍未解决。随着金融的深化改革与经济调整,租赁资产证券化的优势日益显著,而利率定价是资产证券化过程中的核心环节,对产品价值的考量对租赁资产证券化参与各方对于风险溢价的把控及投资决策至关重要。本文应用基于无风险套利的资产证券化产品定价模型,分析了企业间ABS市场产品价格形成的内在机制,实证结果表明债项评级与国债利率对定价机制的影响尤为显著。基于此提出政府应健全对信息披露和交易流程的法律法规,设立专职监管机构,防止定价失真等对策建议。

With the development of national support policies, China’s leasing industry has developed rapidly, but at present the industry infrastructure is still in the construction stage, financing is limited, the high cost of the problem is still not solved. With the deepening of financial reform and economic adjustment, the advantages of securitization of leasing assets are increasingly significant, and in-terest rate pricing is the core link in the process of securitization of assets. The consideration of product value is crucial to the control of risk premium and investment decision of all parties in-volved in securitization of leasing assets. In this paper, the pricing model of asset securitization products based on risk-free arbitrage is applied to analyze the internal mechanism of product price formation in ABS market in enterprises. The empirical results show that the impact of debt rating and interest rate on the pricing mechanism is particularly significant. Based on this, the paper proposes that the government should perfect the laws and regulations on information disclosure and transaction process, set up a full-time regulatory agency, and prevent the distortion of pricing.