题目：Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion

主讲人：Neil Pearson 教授 （美国伊利诺宜大学香槟校区）

时间：2017年6月2日(星期五)下午15:30-17:00

地点：主楼 429

主讲人介绍：

    Neil D. Pearson is the Harry A. Brandt Distinguished Professor at the University of Illinois at Urbana-Champaign.  He previously served on the faculty of the William E. Simon Graduate School of Business Administration at the University of Rochester, as a Special Term Professor at Tsinghua University, and as a Visiting Professor at the Massachusetts Institute of Technology.   He teaches courses about the valuation of derivative financial instruments and the measurement of financial risks and conducts research on various issues in financial markets.  In addition to publishing papers in a number of academic journals, Dr. Pearson is the author of Risk Budgeting: Portfolio Problem Solving Using Value at Risk (Wiley). He is an Associate Editor of the Journal of Financial Economics , the Journal of Financial and Quantitative Analysis , the Journal of Risk , and Economics Bulletin .  Dr. Pearson has extensive consulting experience on the measurement and management of market and credit risk and on the valuation of derivative financial instruments, and is currently affiliated with Rutter Associates (NY).  He received his Ph.D. from the Massachusetts Institute of Technology.

内容介绍：

    Shiller’s feedback loop theory of bubbles involves three elements: a precipitating event that causes an increase in prices, positive feedback trading, and social contagion that draws in new investors.  We use brokerage account records from a large Chinese stock brokerage firm to show that all three components of the Shiller feedback loop are found during the Chinese put warrants bubble. An increase in the stock transaction tax made warrants relatively more attractive for speculative trading and was the precipitating event for the extreme phase of the bubble, causing immediate sharp increases in trading by new and existing investors and a jump in warrant prices.  Hazard rate regressions show that there was positive feedback trading, and the period of heavy feedback trading coincided with the extreme phase of the bubble following the increase in the transaction tax.  Proxies for social contagion explain the entry of new investors, and estimates of the trading volume due to feedback trading and the numbers of new investors drawn in by social contagion explain the size of the bubble.

（承办：国际贸易与金融系，科研与学术交流中心）