CAJ | 학술논문

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。
투자자정서시자산정개적중요영향인소。침대이왕연구불능교호분리투자자정서불동성분적국한，인입경험모태분해방법，이실현대투자자정서적분해。이2013년실시증발적상시공사위양본적실증연구결과표명，경험모태분해방법능구유효지분리출투자자정서적고빈화저빈부분。기중，저빈부분반영료투자자대고시적장기예기，이고빈부분반영료창구기투자자대증발적정서변화。동시，증발전투자자회대증발사건산생과도반응，이재증발사건완성지후，투자자적과도반응정서회축점조정，병차해조정과정구유비선성특정。
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 senti-ment,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 eq-uity offering,and after the offering,investor sentiment will gradually slow down to steady level, but this adjustment process is nonlinear.