投资者情绪指数的经验模态分解:基于增发窗口期的实证研究  

An Empirical Study on Investor Sentiment Decomposition during the SEO Window Based on the EMD Method

作　　者：王远霞[1] 谢赤[1,2] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《财经理论与实践》2015年第4期57-61,共5页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金项目(71373072;71340014);高等学校博士点专向科研基金(20130161110031)

摘　　要：投资者情绪是资产定价的重要影响因素。针对以往研究不能较好分离投资者情绪不同成分的局限,引入经验模态分解方法,以实现对投资者情绪的分解。以2013年实施增发的上市公司为样本的实证研究结果表明,经验模态分解方法能够有效地分离出投资者情绪的高频和低频部分。其中,低频部分反映了投资者对股市的长期预期,而高频部分反映了窗口期投资者对增发的情绪变化。同时,增发前投资者会对增发事件产生过度反应,而在增发事件完成之后,投资者的过度反应情绪会逐渐调整,并且该调整过程具有非线性特征。Investor sentiment is an important factor for the asset pricing.Aiming to solve the limitations that previous research cannot separate the different components of the investor sentiment,we separate the investor sentiment by introducing the empirical mode decomposition.The empirical result which is based on the listed companies that conducted the seasoned equity offering in 2013 shows that the empirical mode decomposition can effectively separate the high frequency and low frequency parts of the investor sentiment.The low frequency part reflects the long-term market expectation of investors,and the high frequency part can reflect the sentiment variation to the seasoned equity offering.Additionally,investors will overact to the event of the seasoned equity offering,and after the offering,investor sentiment will gradually slow down to steady level,but this adjustment process is nonlinear.

关 键 词：投资者情绪 经验模态分解 股票增发 行为资产定价 

分 类 号：F830.9[经济管理—金融学]