Information asymmetry and the profitability of technical analysis

Chiayu Hung, Hung Neng Lai

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


Do informed investors leave a trace in the market? This study shows that the portfolios composed of stocks with a high probability of informed trading (PIN) earn significantly higher returns under moving average strategies than a buy-and-hold strategy. The abnormal returns cannot be explained by a Fama-French five-factor model with an additional momentum factor or transaction costs and yet exists even after imposing delayed trades or controlling for firm size, volatility, and liquidity. Portfolios with alternative information asymmetry measures report similar albeit weaker results.

Original languageEnglish
Article number106347
JournalJournal of Banking and Finance
StatePublished - Jan 2022


  • Market efficiency
  • Moving averages
  • Probability of informed trading
  • Technical analysis


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