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.
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页码：4127 / 4137
页数：11
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