油運企業短期業績分析：以中遠海能和招商輪船爲例

Abstract

本文出發點為航運產業研究業内最爲關心的運價問題。本文先給出航運產業研究的範式定性研究框架爲例，隨後建立定量模型。本文將TCE的自回歸性和外生解釋變量共同放入ARIMAX模型，并且所需資料容易獲得。本文提供模型I和模型II，其中模型I屬於同步模型，而模型II屬於預測模型，可預測2期。儘管模型II由模型I推導得出，但是模型II的預測能力卻不亞於模型I。 模型II的實務應用是本文的一大創新點。本文將模型II應用於買方和賣方證券從業者，並選取A股上市油運公司（中遠海能和招商輪船）為例。買方從業者可以模型II的預測方向為交易基準，結果表明投資組合業績優於買入持有策略或以真實運價爲基准的投資組合。賣方研究員可以模型II預測全年運價水平，以得出更可信的盈利預測。根據模型II,本文得出招商輪船和中遠海能的油運業務將在2019年同比分別增加5.4億美元和9.39億美元。

The thesis begins from practical shipping industry research puzzle on how to predict TCE level. The thesis gives a standard qualitative analysis framework as shipping industry research example, and then comes to model construction. The thesis combines both autocorrelation factors and exogenous explanatory variables together and construct ARIMAX model, with data needed easily available. The thesis provides two models, where Model I contains coincident variables and Model II is a pure leading model for 2 period ahead. Although Model II is derived from Model I, however the predicting power is no less than Model I. The application of Model II is an innovation compared with preceding literatures. The thesis applies Model II to both sell side and buy side practical field. As illustration, the thesis chooses two listed companies in China A share exchange, namely COSCO and CMES. The buy side can trade according to Model II indication on TCE changes direction and achieve a sound result compared to buy-and-hold strategy or trading with real TCE changes. The sell side can predict the whole year earnings forecast by Model II, with crude oil shipping segment results increment estimates to be US$540 mn for CMES and US$939 mn for COSCO as for 2019 fiscal year.