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Technical analysis as a sentiment barometer and the cross-section of stock returns

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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Technical analysis as a sentiment barometer and the cross-section of stock returns. / Ding, Wenjie; Mazouz, Khelifa; ap Gwilym, Owain et al.
Yn: Quantitative Finance, Cyfrol 23, Rhif 11, 11.2023, t. 1617-1636.

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

HarvardHarvard

Ding, W, Mazouz, K, ap Gwilym, O & Wang, Q 2023, 'Technical analysis as a sentiment barometer and the cross-section of stock returns', Quantitative Finance, cyfrol. 23, rhif 11, tt. 1617-1636. https://doi.org/10.1080/14697688.2023.2244991

APA

Ding, W., Mazouz, K., ap Gwilym, O., & Wang, Q. (2023). Technical analysis as a sentiment barometer and the cross-section of stock returns. Quantitative Finance, 23(11), 1617-1636. https://doi.org/10.1080/14697688.2023.2244991

CBE

Ding W, Mazouz K, ap Gwilym O, Wang Q. 2023. Technical analysis as a sentiment barometer and the cross-section of stock returns. Quantitative Finance. 23(11):1617-1636. https://doi.org/10.1080/14697688.2023.2244991

MLA

Ding, Wenjie et al. "Technical analysis as a sentiment barometer and the cross-section of stock returns". Quantitative Finance. 2023, 23(11). 1617-1636. https://doi.org/10.1080/14697688.2023.2244991

VancouverVancouver

Ding W, Mazouz K, ap Gwilym O, Wang Q. Technical analysis as a sentiment barometer and the cross-section of stock returns. Quantitative Finance. 2023 Tach;23(11):1617-1636. Epub 2023 Medi 1. doi: 10.1080/14697688.2023.2244991

Author

Ding, Wenjie ; Mazouz, Khelifa ; ap Gwilym, Owain et al. / Technical analysis as a sentiment barometer and the cross-section of stock returns. Yn: Quantitative Finance. 2023 ; Cyfrol 23, Rhif 11. tt. 1617-1636.

RIS

TY - JOUR

T1 - Technical analysis as a sentiment barometer and the cross-section of stock returns

AU - Ding, Wenjie

AU - Mazouz, Khelifa

AU - ap Gwilym, Owain

AU - Wang, Qingwei

PY - 2023/11

Y1 - 2023/11

N2 - This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based sentiment indicator positively predicts near-term returns and is inversely related to long-term returns in the cross-section. Simple trading strategies based on this sentiment indicator yield substantial abnormal returns. These results are consistent with the explanation that lack of synchronization induces rational arbitrageurs to exploit the mispricing before it is corrected.

AB - This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based sentiment indicator positively predicts near-term returns and is inversely related to long-term returns in the cross-section. Simple trading strategies based on this sentiment indicator yield substantial abnormal returns. These results are consistent with the explanation that lack of synchronization induces rational arbitrageurs to exploit the mispricing before it is corrected.

KW - Investor Sentiment

KW - Cross-sectional Returns

KW - Technical analysis

KW - Delayed Arbitrage

U2 - 10.1080/14697688.2023.2244991

DO - 10.1080/14697688.2023.2244991

M3 - Article

VL - 23

SP - 1617

EP - 1636

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 11

ER -