Rethinking highway finance: A data-driven pricing model for concession securities in chongqing, China

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-08-23 DOI:10.1016/j.frl.2024.105989

引用次数: 0

Abstract

Under the background of local governments no longer guaranteeing minimum traffic volumes after 2020 in China, how to price the highway concessions securities has become an urgent problem that needs to be solved. This paper develops a novel pricing model for highway concession securities in Chongqing, China, post-2020, using ARIMA-EGARCH, Nelson-Siegel, and DCF models on 754,416 toll records. The main results are as follows: China's new budget law can influence the financing effect of highway securitization. The ratio of priority bonds would be overestimated, and the default probability would increase under the normal distribution hypothesis. In addition, the financing capacity of pool issuance securitization is better than the respective issuance. Our findings indicate that pooled issuance securitization enhances financing capacity more effectively than individual issuances. Legislative adjustments significantly influence the effectiveness of highway securitization, highlighting the need for a data-driven approach to account for traffic volume risks.

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反思高速公路融资：中国重庆特许权证券的数据驱动定价模型

在中国 2020 年后地方政府不再保证最低交通流量的背景下，如何对高速公路特许证券进行定价已成为亟待解决的问题。本文利用 ARIMA-EGARCH、Nelson-Siegel 和 DCF 模型，对 754 416 条收费记录建立了一个新颖的 2020 年后中国重庆高速公路特许证券定价模型。主要结果如下中国新预算法会影响高速公路证券化的融资效果。在正态分布假设下，优先级债券的比例会被高估，违约概率会增加。此外，集合发行证券化的融资能力优于各自发行。我们的研究结果表明，集合发行证券化比单独发行证券化更有效地提高了融资能力。立法调整极大地影响了高速公路证券化的效果，突出了数据驱动法考虑交通量风险的必要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance

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