Information asymmetry and the profitability of technical analysis

Chiayu Hung, Hung Neng Lai

研究成果: 雜誌貢獻期刊論文同行評審

摘要

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.

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文章編號106347
期刊Journal of Banking and Finance
134
DOIs
出版狀態已出版 - 1月 2022

指紋

深入研究「Information asymmetry and the profitability of technical analysis」主題。共同形成了獨特的指紋。
  • 資訊交易與技術分析

    Lai, H.

    1/08/1831/07/19

    研究計畫: Research

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