Estimating the portion of technical analysts in a market

被引：0

作者：

Cook, Jonathan ^{[1
]}

机构：

[1] Publ Co Accounting Oversight Board, Washington, DC 20006 USA

来源：

APPLIED ECONOMICS | 2017年 / 49卷 / 41期

关键词：

G12; C11; G02; Technical analysis; market volatility; model averaging; ALGORITHMS; RULES;

D O I：

10.1080/00036846.2016.1276274

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article presents structural estimates of the portion of technical analysts in six markets. I find that the portion of technical analysts in the U.S. equity market has been decreasing since the 1970s. A simple asset pricing model predicts that both risk and return are increasing in the portion of technical analysts. This prediction is confirmed across stock market indexes for six countries.

引用

页码：4127 / 4137

页数：11

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