分类号密级公开
UDC 编号20223550041
硕士学位论文
（专业学位）
我国公募REITs 融资效果及风险分析——以鹏华
深圳能源REIT 为例
申请人姓名卢淑珍
导师姓名及职称杨碧云，教授
专业学位类别金融硕士
专业学位领域金融
培养单位金融学院
学位授予单位广东外语外贸大学
2024年5月25日
分类号密级公开
UDC 编号20223550041
广东外语外贸大学硕士学位论文
（专业学位）
我国公募REITs 融资效果及风险分析——以鹏华深圳
能源REIT 为例
Analysis on the financing effect and risk of China's
public offering REITs --taking Penghua Shenzhen Energy
REIT as an example
申请人姓名卢淑珍
导师姓名及职称杨碧云，教授
专业学位类别金融硕士
专业学位领域金融
论文提交日期2024年5月25日
论文答辩日期2024年5月16日
答辩委员会徐枫教授
廖国民教授梁耀仁
学位授予单位：广东外语外贸大学
摘要
在“双碳”目标和“去杠杆”的背景下，能源行业亟需低碳转型升级，寻
找新型的融资渠道。由于REIT 具有明显的融资优势，国家近两年大力支持企业
发行REIT 融资，公募REITs 短短两年内取得较快发展，REITs 市场的迅猛发展
不止引起了资本市场的关注，也引起了学术界的注意。由于国内外的资本市场
发展阶段的不同，国情的不同，REITs 产品结构和市场相关制度也有所区别，
故有必要运用我国市场的典型案例来研究我国企业选择REIT 融资方案，分析其
选择REITs 融资的动因、效果和风险，为其他企业融资提供一种潜在方案参考。
本文基于国内外学者关于REITs 融资研究的理论基础以及研究成果，选择
了地处首批国企改革的试验区和粤港澳大湾区的地方国企深圳能源2022年发行
的我国第一只清洁能源REIT 作为案例研究对象，通过分析其为什么发行REIT、
能够带来怎样的效果以及存在什么风险等内容，得到以下结论：（1）从融资动
因来看，政策的支持、行业的高度契合和公司财务结构改善的需求推动企业发
行REIT 融资；（2）从财务效应来看，一方面，深圳能源发行REIT 能够降低公
司资产负债率进而优化公司资本结构，提高偿债能力，另一方面深圳能源发行
REIT 有助于盘活存量资产，提高企业运营效率；（3）从对公司价值影响来看，
公司发行REIT 后公司的加权平均资本成本降低，EVA 由负转正，一定程度上提
高了公司的短期经营业绩，为股东创造财富，提高公司的内部价值。此外，分
析短期市场效应发现公司发行的REIT 给公司的股价带来了一定的积极影响，但
是这种影响较小且不可持续；（4）从风险角度来看，本文基于GARCH-VaR 模
型，发现REIT 产品市场风险具有波动集聚性和持续性特征；VaR 是REIT 收益
率的包络线。最后，简单分析了其他方面风险，揭示我国公募REITs 二级市场
流动性不足导致市场敏感度较高等问题。
关键词：公募REITs；清洁能源；产品结构；风险价值
I
Abstract
Against the backdrop of the "dual carbon"goals and deleveraging,the energy
industry urgently needs low-carbon transformation and upgrading,and seeks new
financing channels.Due to the obvious financing advantages of REIT,the government
has strongly supported enterprises to issue REIT financing in the past two years.Public
REITs have achieved rapid development in just two years.The rapid development of
the REIT market has not only attracted the attention of the capital market,but also the
attention of the academic community.Due to the different stages of capital market
development both domestically and internationally,as well as the different national
conditions,there are differences in the product structure and market related systems of
REITs.Therefore,it is necessary to use typical cases of the Chinese market to study the
reasons,effects,and risks of Chinese enterprises choosing REIT financing schemes,
and to provide a potential reference for other enterprises to choose REIT financing
schemes.
This article is based on the theoretical foundation and research results of domestic
and foreign scholars on the financing of REITs.Shenzhen Energy,a local state-owned
enterprise located in the first batch of experimental areas for state-owned enterprise
reform and the Guangdong Hong Kong Macao Greater Bay Area,was selected as the
case study object.Using its 2022issuance of China's first clean energy REIT——
Penghua Shenzhen Energy REIT as an example,the article analyzes the motives,
financing effects,and risks of issuing REITs by enterprises,Based on the research,the
following conclusions can be drawn:(1)From the perspective of financing drivers,
policy support,high industry fit,and the need for improving the company's financial
structure drive enterprises to issue REIT financing;(2)From the perspective of
financial effects,on the one hand,the issuance of REIT by Shenzhen Energy can reduce
the company's asset liability ratio,optimize the company's capital structure,and
improve its debt paying ability.On the other hand,the issuance of REIT by Shenzhen
Energy can help activate existing assets and improve the efficiency of enterprise
operations;(3)From the perspective of its impact on the company's value,the issuance
of REIT has resulted in a positive change in EVA,which has to some extent improved
the company's short-term operating performance,created wealth for shareholders,and
enhanced the company's internal value.In addition,analyzing short-term market effects
reveals that the issuance of REITs by the company has had a certain positive impact on
II
the company's stock price,but this impact is relatively small and unsustainable;(4)
From a risk perspective,based on the GARCH-VaR model,this article finds that the
market risk of REIT products has characteristics of volatility clustering and persistence;
VaR is the envelope of REIT's yield.Finally,a brief analysis of other risks was
conducted,revealing the issue of insufficient liquidity in China's public REITs
secondary market leading to high market sensitivity.
Keywords:Public REITs;Clean energy;Product structure;Value at Risk
III