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

情绪与技术分析的有效性：来自对冲基金行业的证据

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：本文展示了一项独特的测试——关于对冲基金经理（可能是最复杂和精明的投资者）在不同情绪环境中使用技术分析的有效性。结果发现，在高情绪时期，使用技术分析的对冲基金表现比没有使用者更好，具体表现为更低的风险和更好的市场择时能力。但是在低情绪时期，使用技术分析的优势发生了消失甚至逆转。我们的研究结果与以下观点一致：技术分析在具有较大错误定价的高情绪时期相对更有用，但由于卖空限制，这一现象无法被套利活动完全利用。

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.

原文链接：

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

翻译：熊进宗