經(jīng)管學(xué)院熊偉教授三篇研究獲國(guó)際頂級(jí)期刊收錄
香港中文大學(xué)（深圳）經(jīng)管學(xué)院學(xué)術(shù)院長(zhǎng)熊偉教授的研究成果近期收錄于The Review of Economic Studies, The Review of Financial Studies等頂級(jí)期刊。
?
1. China’s Model of Managing the Financial System
Abstract：
China’s economic model involves active government intervention in financial markets. We develop a theoretical framework in which interventions prevent a market breakdown and a volatility explosion caused by the reluctance of short-term investors to trade against noise traders. In the presence of information frictions, the government can alter market dynamics since the noise in its intervention program becomes an additional factor driving asset prices. More importantly, this may divert investor attention away from fundamentals and totally toward government interventions (as a result of complementarity in investors’ information acquisition). A trade-off arises: government’s objective to reduce asset price volatility may worsen, rather than improve, information efficiency of asset prices.
中國(guó)金融體系管理模式
中國(guó)金融體系的特點(diǎn)之一是政府通過(guò)對(duì)金融體系的積極干預(yù)以維持金融穩(wěn)定。由于中國(guó)的金融市場(chǎng)存在大量缺乏經(jīng)驗(yàn)的“散戶(hù)”（即噪音交易者），具有高度的投機(jī)性，容易造成短期市場(chǎng)波動(dòng)。而針對(duì)這些市場(chǎng)波動(dòng)，政府進(jìn)行有效的干預(yù)，有助于減少市場(chǎng)波動(dòng)并確保金融穩(wěn)定。然而，政府干預(yù)能否保證金融體系的信息效率？本研究構(gòu)建了一個(gè)理論模型來(lái)分析政府干預(yù)的效果，在模型中政府直接與噪音交易者進(jìn)行交易。模型分析表明，更密集的干預(yù)雖然可以降低資產(chǎn)價(jià)格的波動(dòng)，但同時(shí)也可能降低市場(chǎng)的信息效率。在信息摩擦的環(huán)境下，政府干預(yù)會(huì)導(dǎo)入自身的噪音，而成為新的市場(chǎng)因子，并分散投資人的注意力。當(dāng)投資人把有限的注意力放在分析政府干預(yù)的噪音因子上而不是市場(chǎng)基本面時(shí)，政府干預(yù)會(huì)降低而不是提高市場(chǎng)的信息效率。
?
收錄于：The Review of Economic Studies
共同作者：
Markus K. Brunnermeier, Princeton University
Michael Sockin, University of Texas at Austin
論文鏈接：https://www.nber.org/system/files/working_papers/w27171/w27171.pdf
?
2. The Whack-A-Mole Game: Tobin Taxes and Trading Frenzy
Abstract：
To dampen trading frenzy in the stock market, the Chinese government tripled the stamp tax for stock trading on May 30, 2007. The greatly increased trading cost triggered a migration of the trading frenzy from the stock market to the warrant market—which was not subject to the stamp tax—exacerbating a price bubble in the warrant market. Investor account data uncover not only large inflows of new investors to the warrant market but also greatly intensified trading by existing warrant investors. This episode exemplifies the so-called “whack-a-mole” game in financial regulations.
“打地鼠”游戲：托賓稅和交易狂熱
為平抑股市的交易狂熱，中國(guó)政府于2007年5月30日將股票交易印花稅提高了兩倍。此舉使交易成本大幅增加，促使大量交易從股票市場(chǎng)轉(zhuǎn)移到不受印花稅影響的權(quán)證市場(chǎng)，從而加劇了權(quán)證市場(chǎng)的價(jià)格泡沫。投資者賬戶(hù)數(shù)據(jù)顯示，大量新投資者涌入權(quán)證市場(chǎng)，現(xiàn)有權(quán)證投資者的交易也大幅增加。這一事件例證了金融監(jiān)管中所謂的“打地鼠”現(xiàn)象。
收錄于：The Review of Financial Studies
共同作者：
Jinghan Cai, University of Scranton
Jibao He, Shenzhen Stock Exchange
Wenxi Jiang, The Chinese University of Hong Kong
論文鏈接：https://wxiong.mycpanel.princeton.edu/papers/Whac_a_mole.pdf
?
3. Learning about the Neighborhood
Abstract：
We develop a model to analyze information aggregation and learning in housing markets. Households enter a neighborhood by buying houses and consuming each other’s final goods. In the presence of pervasive informational frictions, housing prices serve as important signals to households and capital producers about the neighborhood’s economic strength. Our model provides a novel amplification mechanism in which noise from housing markets propagates throughout the local economy via learning because of the complementarity in households’ decisions, distorting migration into the neighborhood and the supply of capital and labor. We provide consistent evidence based on the recent U.S. housing cycle.
從房?jī)r(jià)了解社區(qū)信息
在信息摩擦普遍存在的情況下，房?jī)r(jià)成為了家庭和投資者了解社區(qū)經(jīng)濟(jì)實(shí)力的重要信號(hào)。本研究構(gòu)建了分析住房市場(chǎng)中信息聚集和信息獲取的模型，提供了一種全新的放大機(jī)制。由于家庭決策的互補(bǔ)性，住房市場(chǎng)中的噪聲通過(guò)信息獲取在當(dāng)?shù)貍鞑?，?duì)經(jīng)濟(jì)產(chǎn)生影響，干擾社區(qū)的人口遷移以及資本和勞動(dòng)力的供給。對(duì)美國(guó)近期的住房周期的分析為這一觀(guān)點(diǎn)提供了一致證據(jù)。
?
收錄于：The Review of Financial Studies
共同作者：
Zhenyu Gao, Chinese University of Hong Kong
Michael Sockin, University of Texas at Austin
論文鏈接：https://wxiong.mycpanel.princeton.edu/papers/Housing.pdf
?
教師簡(jiǎn)介
熊偉
香港中文大學(xué)（深圳）經(jīng)管學(xué)院學(xué)術(shù)院長(zhǎng)
深圳高等金融研究院學(xué)術(shù)院長(zhǎng)
深圳數(shù)據(jù)經(jīng)濟(jì)研究院學(xué)術(shù)院長(zhǎng)
熊偉教授是全世界金融界中最具影響力的研究學(xué)者之一，在國(guó)際學(xué)術(shù)圈及政府決策層中都發(fā)揮過(guò)重要影響力。他在世界頂尖經(jīng)濟(jì)及金融雜志發(fā)表過(guò)數(shù)十篇關(guān)于各類(lèi)研究主題的論文，例如投機(jī)泡沫、金融危機(jī)、行為金融學(xué)、大宗商品金融化、中國(guó)金融市場(chǎng)、數(shù)據(jù)經(jīng)濟(jì)等。熊偉教授曾獲多項(xiàng)榮譽(yù)，包括美國(guó)金融學(xué)會(huì)2012年度史密斯·伯林頓最佳論文獎(jiǎng)、美國(guó)西部金融學(xué)會(huì)2013年度納斯達(dá)克集團(tuán)最佳論文獎(jiǎng)、中國(guó)2015年首屆孫冶方金融創(chuàng)新獎(jiǎng)、2018年中國(guó)當(dāng)代經(jīng)濟(jì)學(xué)獎(jiǎng)。他于2016年出任美國(guó)金融學(xué)會(huì)旗幟期刊Journal of Finance聯(lián)合主編。
（文章轉(zhuǎn)自經(jīng)管學(xué)院官網(wǎng)，鏈接https://sme.cuhk.edu.cn/article/1519）
