噪声交易者预期与房地产泡沫——基于35个大中城市的实证研究

Noise Traders' Expectations and Real Estate Bubbles:An Empirical Study Based on the Data of 35 Cities

随着中国房地产市场的不断繁荣发展,部分城市房地产市场的泡沫化现象日益严重,房地产泡沫已成为学术研究和社会各界广泛关注的热点。将噪声交易模型引入房地产市场,通过模型的数理推导分析发现,形成房地产泡沫的主要影响因素包括噪声交易者预期、噪声交易者预期偏差均值、交易者风险和噪声交易者比例四个方面。在此基础上,进一步使用35个大中城市2002—2011年的数据进行实证检验,结果显示,噪声交易者的市场预期的确在很大程度上决定了房地产市场的泡沫化程度。

In recent years, the domestic real estate industry has achieved great progress and success. Researching on real estate bubbles has been one of the hottest issues in the field of economics. This paper, based on the Behavioral-Finance theories, starts with the noise trading model. After the quote and comment on the model, this paper finds out that it is the noise traders＇ expecta- tions, the average value of noise traders＇ misperceptions, risks and the proportion of noise traders that contribute to the formation of real estate bubbles. Based on the above analysis, this paper then verifies the findings based on the data of 35 cities from 2002 to 2011. Finally, it points out that the noise traders＇ expectations is a key factor for forming the recent real estate bubbles.