Journal of Financial and Quantitative Analysis · Volume 51, Issue 6 December 2016, pp. 1991-2013

情緒與技術分析的有效性：來自對沖基金行業的證據

作者：David M. Smith (State University of New York at Albany), Na Wang (State University of New York at Albany), Ying Wang (Hofstra University), Edward J. Zychowicz (Hofstra University)

摘要：本文展示了一項獨特的測試——關于對沖基金經理（可能是最複雜和精明的投資者）在不同情緒環境中使用技術分析的有效性。結果發現，在高情緒時期，使用技術分析的對沖基金表現比沒有使用者更好，具體表現為更低的風險和更好的市場擇時能力。但是在低情緒時期，使用技術分析的優勢發生了消失甚至逆轉。我們的研究結果與以下觀點一緻：技術分析在具有較大錯誤定價的高情緒時期相對更有用，但由于賣空限制，這一現象無法被套利活動完全利用。

Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry

David M. Smith (State University of New York at Albany), Na Wang (State University of New York at Albany), Ying Wang (Hofstra University), Edward J. Zychowicz (Hofstra University)

ABSTRACT

This article presents a unique test of the effectiveness of technical analysis in different sentiment environments by focusing on its usage by perhaps the most sophisticated and astute investors, namely, hedge fund managers. We document that during high-sentiment periods, hedge funds using technical analysis exhibit higher performance, lower risk, and superior market-timing ability than nonusers. The advantages of using technical analysis disappear or even reverse in low-sentiment periods. Our findings are consistent with the view that technical analysis is relatively more useful in high-sentiment periods with larger mispricing, which cannot be fully exploited by arbitrage activities because of short-sale impediments.

原文鍊接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitlesentiment-and-the-effectiveness-of-technical-analysis-evidence-from-the-hedge-fund-industrydiv/C8DD9ED6B5B5245D7E9E7A44B1421F2E

翻譯：熊進宗