技术分析作为情绪晴雨表和股票收益的横截面

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2023-09-01 DOI:10.1080/14697688.2023.2244991

Wenjie Ding, Khelifa Mazouz, Owain ap Gwilym, Qingwei Wang

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引用次数: 0

摘要

本文探讨了一个未经检验的情绪通道，通过技术分析可以增加价值。我们使用一系列技术交易策略来构建每日市场情绪指标，该指标与其他常用的情绪指标高度相关。这个基于技术分析的情绪指标正预测近期回报，在横截面上与长期回报呈负相关。基于这种情绪指标的简单交易策略会产生大量的异常回报。这些结果与缺乏同步导致理性套利者在错误定价纠正之前利用错误定价的解释是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Technical analysis as a sentiment barometer and the cross-section of stock returns

This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based sentiment indicator positively predicts near-term returns and is inversely related to long-term returns in the cross-section. Simple trading strategies based on this sentiment indicator yield substantial abnormal returns. These results are consistent with the explanation that lack of synchronization induces rational arbitrageurs to exploit the mispricing before it is corrected.

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.