Market Efficiency and the Returns to Technical Analysis
探讨Brock等人（1992）发现简单技术分析能预测美国股票指数回报的原因，发现部分预测能力来自非同步交易导致的测量误差，但技术分析预测能力不一定违背市场效率。
We further investigate and provide interpretation for the intriguing Brock, Lakonishok, and LeBaron (1992) finding that simple forms of technical analysis contain significant forecast power for U.S. equity index returns.We document that the forecast ability is partially, but not solely, attributable to return measurement errors arising from nonsynchronous trading.We argue that the evidence of technical forecast power need not be inconsistent with market efficiency."Breakeven" one-way trading costs are computed to be 0.39% for the full sample and 0.22% since 1975, which are small compared to recent estimates of actual trading costs.Further, we test but fail to reject a key restriction that most equilibrium models place on return forecast ability: that the technical rules should not reliably identify periods of negative market risk premia.