科研成果

Forthcoming
Gao M, Meng J, Zhao L. Income and Social Communication: The Demographics of Stock Market Participation. World Economy [Internet]. Forthcoming. 全文链接 DOI: 10.1111/twec.12777Abstract
This paper analyzes the determinants of stock market participation decisions using officially compiled aggregate stock account opening data in China. Different from the literature that often focuses on one particular dimension, our paper systematically evaluates the relative importance of disposable income, demographic variables, macroeconomic factors, stock market conditions, and social communication on both the level and the change of the participation rate. We find that the level of the participation rate is predominately determined by the income factor, followed by various measures of social communication. Social communication plays the most important role in the change of the participation rate, acting as a multiplier to stimulate stock market participation. The effects are more pronounced in high income, high education, high population density groups, and during the bull market period.
2019
Gao M. No Pain, No Gain? Household Beliefs and Stock Market Participation. Economics Letters [Internet]. 2019;181:81–84. 全文链接 DOI: 10.1016/j.econlet.2019.05.001Abstract
This paper investigates whether household beliefs on the determinants of success affect their stock market participation decisions. Using national survey data from China, I show that Chinese households believe that personal effort is the most influential factor in people’s success, followed by family social connections, aptitude, and luck. Moreover, households that believe more in effort are less likely to participate in the stock market, while those who place more emphasis on family social connections are more likely to participate. The negative (positive) effects of effort (family social connections) are more profound for agricultural (workplace-affiliated) households. Further, I offer belief mechanisms to explain the heterogeneity of stock market participation for different occupations.
周俊文, 党建伟, 高明. 第三方支付监管的目标与制度安排. 金融监管研究 [Internet]. 2019;87(3):79–97. 全文链接 DOI: 10.13490/j.cnki.frr.2019.03.006Abstract
第三方支付在支付体系中日益重要,新技术和新商业模式带来的潜在风险对其监管提出了更高要求。本文通过梳理中国、美国和欧盟第三方支付的相关法规制度,分析各自的监管目标及实现情况,并根据我国的第三方支付监管现状提出政策建议。本文认为,提高经济效率、降低系统风险和保护消费者权益是对第三方支付的主要监管目标,各国各有侧重。美国将第三方支付视为传统货币服务业务的一种,将经济效率作为优先考虑,奉行最低监管原则;欧盟将支付机构视为电子货币公司,在提高经济效率的同时尤为重视消费者保护;我国则将第三方支付视为非银行金融中介,由央行统一监管,主要立法诉求在于降低系统性风险。当前,我国第三方支付日益成为重要的商业基础设施,已在居民生活中得到广泛应用。鉴此,在控制总体风险的同时,应更加关注经济效率和消费者保护的问题。本文建议,设立有效准入、加强过程监管、明确退出机制,以提高经济效率;持续更新技术安全指标,建立常态审查机制,以进一步控制系统性风险;利用大数据分析完善可疑交易共享,在明确收益归属的基础上灵活管理沉淀资金,建立未授权支付的补偿机制,完善个人信息安全立法,以加强消费者权益保护。
2018
高明, 李德龙, 施雨水. 金融发展与收入差距:二元体制是一个决定性的因素吗. 经济学报 [Internet]. 2018;5(3):114–141. 全文链接 DOI: 10.16513/j.cnki.cje.2018.03.006Abstract
本文在先前文献的基础上,考虑到二元体制对中国城乡收入差距的决定性意义,引入城镇内收入差距的概念。文章运用中国31个省级行政单位1991–2008年的面板数据,分别对金融发展与城乡间、城镇内收入差距之间的关系进行了实证研究。结果显示,不论是城乡间还是城镇内,金融发展对收入差距的影响均存在倒U型的库兹涅茨效应。基于1997–2012年城乡财产性收入数据的研究也具有一致性。本文实证结果支持了Greenwood and Jovanovic (1990)所提出的门槛理论,即收入差距的扩大并非因为金融发展不具有正外部性,而是因为贫困者无法享受到此类福利。本文建议相关的制度设计应更加关注农村居民和低收入者。
2016
Gao M, Liu Y-J, Wu W. Fat-Finger Trade and Market Quality: The First Evidence From China. Journal of Futures Markets [Internet]. 2016;36(10):1014–1025. 全文链接 DOI: 10.1002/fut.21771Abstract
More trading is algorithmic or computer generated, and in markets where it is allowed, high frequency. However, what happens when there is an algorithmic trading error? This study attempts to answer that question by examining the August 16, 2013, fat-finger trade in Chinese equity and equity futures markets. We find that both markets were excessively volatile, illiquid, and positively skewed. Moreover, we document that index returns are predictable for a shorttime, indicating that the fat-finger event induced an inefficient market. Our results highlight the importance of market surveillance and regulation to lessen the damage of future fat-finger events.
胡聪慧, 张勇, 高明. 价格时滞、投机性需求与股票收益. 管理世界 [Internet]. 2016;(1):44–53. 全文链接 DOI: 10.19744/j.cnki.11-1235/f.2016.01.005AbstractPKU 
本文旨在借助Hou和Moskovitz (2005)提出的反映市场摩擦的综合指标——价格时滞,考察不同市场摩擦对A股市场股票收益的影响特征及内在机理。研究发现,价格时滞越严重的股票未来收益越低,套利组合的收益高达每月1.36%。这不仅与美国股票市场的证据不同,而且难以被经典理论解释。本文从投机性需求角度对此提出了一种新的解释。价格时滞表明投资者对公共信息反应不足、过度依赖私有信息交易,这一行为会加剧投资者对股票估值的意见分歧,刺激投机性需求,放大股票中转售期权的价值,从而导致股价被高估。接着,本文证实价格时滞严重的股票具有较强的投机性特征,价格时滞对未来收益的预测性也主要源自股票的投机性特征。本文的研究表明,与美国市场不同,在中国股票市场,与投机性需求相关的市场摩擦对股票收益的影响要远大于与流动性、投资者认可度相关的市场摩擦。
2015
Gao M, Fok R. Demographics, Family/Social Interaction, and Household Finance. Economics Letters [Internet]. 2015;136:194–196. 全文链接 DOI: 10.1016/j.econlet.2015.09.027Abstract
We examine the role of demographics and family/social interaction in Chinese household finance. The impacts of demographic characteristics are not limited to stock market participation, but extend to other financial activities. Households with strong family and social interaction are more likely to save, invest in risky assets and borrow. Family interaction is positively related to informal financing.
Wang J-Y, Fok R (C-W), Gao M, Liu Y-J. Out of Sight, Not Out of Mind: The Evidence from Taiwan. International Review of Economics and Finance [Internet]. 2015;37:138–156. 全文链接 DOI: 10.1016/j.iref.2014.11.019Abstract
This paper extends the current literatures on the relation between fund expenses and fund flows using data from Taiwan. Our findings for the Taiwan market differ from previous studies on the U.S. market. Specifically, we find no support for the notion of “out of sight, out of mind”. For Taiwan mutual funds, net flows and inflows are negatively related to operating expenses but not front-end loads. The discrepancy between our results and those reported for the U.S. market may be attributed to the fee structure in Taiwan, where operating expenses are much higher than front-end loads and seem to have a bigger impact on fund performance. The negative relation between net flows (inflows) and operating expenses is more pronounced for funds with high institutional investor participation and funds charging high operating expenses. However, investor types show no significant impact on the relations between front-end loads and various measures of fund flows.
2014
高明, 林莞娟, 于丹丹. 认知局限与居民借款行为研究. 金融学季刊 [Internet]. 2014;8(2):113–135. 全文链接 HANDLE: 20.500.11897/413249Abstract
本文首次使用中国健康与养老追踪调查数据,以民间金融为背景,考察居民认知能力与借款行为之间的关系。实证结果发现,认知局限得分与农村居民是否借出资金以及所借出资金占家庭财富的比例显著负相关,表明认知能力影响居民的风险承担决策。通过将农村样本按照贫富分组,发现显著的相关关系仅存在于相对富裕的样本之中。这说明在正规金融较为落后、民间金融活跃的农村地区,认知能力较强的富人更可能从事私人风险借贷。除财富之外,年龄、教育水平、参与社交活动以及家庭年生活支出也是资金出借决策的重要影响因素。本文丰富了精神健康和风险决策行为的研究。
2013
高明, 刘玉珍. 跨国家庭金融比较:理论与政策意涵. 经济研究 [Internet]. 2013;(2):134–149. 全文链接 CNKI: CJFDTotal-JJYJ201302012AbstractPKU 
本文对研究各国家庭资产配置的文献进行综述,进一步讨论其未来学术与政策研究思路。在样本方面,本文建议进行跨国资产配置的长期追踪调查,比较观察发达国家与发展中国家,进而探讨经济发展程度与家庭资产配置的关系。有关跨国文化与社会变量的研究,也须仰赖各国文化与社会相关的数据。在议题上,有关跨国金融的研究尚未对跨国性间接金融与直接金融进行比较。关于经济低度发展国家的研究,未来重点则是如何建立适当方式,考虑因非自愿性因素而被排除的家庭。最后,基于中国的经济发展进程,本文提出了资本市场建设的立论基础,并强调直接金融和间接金融对不同经济阶段和经济区域的影响。
2011
胡聪慧, 高明. 噪音与证券分析师的迎合动机. 金融学季刊 [Internet]. 2011;6(2):102–118. 全文链接 CNKI: CJFDTOTAL-JKJR201102007Abstract
证券分析师是市场解读信息的重要力量。然而最近的研究表明,分析师意见存在系统性的偏差。鉴于此,探讨分析师意见偏差背后的行为动机,剖析分析师意见对证券价格的影响便具有重要意义。本文应用迎合理论,构建分析师与投资者之间的理性博弈模型,证明了在投资者具有信息劣势的博弈中,分析师的迎合动机会放大噪音对其购买意见以及均衡价格的影响。理性投资者并未能消除分析师迎合动机造成的股价噪音,从而从分析师角度,为股价对噪音的过度反应找到了一种理性的微观机制。