时间：11月18日（周三）下午1:00开始
地点：统计楼103会议室
演讲人简介：张子溥博士，现任台湾云林科技大学金融系助理教授，台湾交通大学博士，中研院经济所博士后出站。曾多次受邀参加金融学与经济学的国际学术会议，并于国际知名的学术期刊发表论文数篇。
演讲题目：从时频分析角度考察股价报酬、投资人情绪与宏观经济的关系
A Time-Frequency Analysis of Stock Return, Investor Sentiment and Macroeconomic Factors
报告内容简介：
This research aims to investigate two important issues related to return predictability: investor sentiment and macroeconomic factors. The standard finance theory posits that stock price would be equal to the rational present value of expected future cash flows. Theoretically, literatures consider that sentiment causes speculators or noise traders to have a bias in the intrinsic value of underlying asset. Moreover,macroeconomic factors affect firms’ cash flows and may influence the discount rate.However, the empirical studies have found mixed results regarding the above-mentioned two issues. One possible explanation is that the effects are neither linear nor time invariant due to the complex structure of stock return. Therefore, this project applies a time-frequency analysis, says ensemble empirical mode decomposition approach (EEMD), to decompose the complexity of return into several intrinsic mode functions (IMF). From a time-frequency viewpoint, this paper hypothesizes that sentiment and macroeconomic factors would affect short-term and long-term fluctuation of return, respectively. We then apply EEMD to decompose S&P 500 index and the findings support the proposed hypotheses.