熊伟教授三篇研究获国际顶级期刊收录

香港中文大学（深圳）经管学院学术院长熊伟教授的研究成果近期收录于The Review of Economic Studies, The Review of Financial Studies等顶级期刊。

熊伟

香港中文大学（深圳）经管学院学术院长

深圳高等金融研究院学术院长

深圳数据经济研究院学术院长

教授（普林斯顿大学）

研究领域

资本市场摩擦、行为金融学、中国经济与金融市场

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.

中国金融体系管理模式

中国金融体系的特点之一是政府通过对金融体系的积极干预以维持金融稳定。由于中国的金融市场存在大量缺乏经验的“散户”（即噪音交易者），具有高度的投机性，容易造成短期市场波动。而针对这些市场波动，政府进行有效的干预，有助于减少市场波动并确保金融稳定。然而，政府干预能否保证金融体系的信息效率？本研究构建了一个理论模型来分析政府干预的效果，在模型中政府直接与噪音交易者进行交易。模型分析表明，更密集的干预虽然可以降低资产价格的波动，但同时也可能降低市场的信息效率。在信息摩擦的环境下，政府干预会导入自身的噪音，而成为新的市场因子，并分散投资人的注意力。当投资人把有限的注意力放在分析政府干预的噪音因子上而不是市场基本面时，政府干预会降低而不是提高市场的信息效率。

收录于：

The Review of Economic Studies

Markus K. Brunnermeier, Princeton University

Michael Sockin, University of Texas at Austin

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”游戏：托宾税和交易狂热

为平抑股市的交易狂热，中国政府于2007年5月30日将股票交易印花税提高了两倍。此举使交易成本大幅增加，促使大量交易从股票市场转移到不受印花税影响的权证市场，从而加剧了权证市场的价格泡沫。投资者账户数据显示，大量新投资者涌入权证市场，现有权证投资者的交易也大幅增加。这一事件例证了金融监管中所谓的“打地鼠”现象。

收录于：

The Review of Financial Studies

Jinghan Cai, University of Scranton

Jibao He, Shenzhen Stock Exchange

Wenxi Jiang, The Chinese University of Hong Kong

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.

从房价了解社区信息

在信息摩擦普遍存在的情况下，房价成为了家庭和投资者了解社区经济实力的重要信号。本研究构建了分析住房市场中信息聚集和信息获取的模型，提供了一种全新的放大机制。由于家庭决策的互补性，住房市场中的噪声通过信息获取在当地传播，对经济产生影响，干扰社区的人口迁移以及资本和劳动力的供给。对美国近期的住房周期的分析为这一观点提供了一致证据。

收录于：

The Review of Financial Studies

Zhenyu Gao, Chinese University of Hong Kong

Michael Sockin, University of Texas at Austin