A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
研究发现，将移动平均择时策略应用于按波动率排序的投资组合，能产生显著优于买入持有策略的异常收益，且无法被常见风险因子解释。
Abstract In this paper, we document that an application of a moving average timing strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that substantially outperform the buy-and-hold strategy. For high-volatility portfolios, the abnormal returns, relative to the capital asset pricing model (CAPM) and the Fama-French 3-factor models, are of great economic significance, and are greater than those from the well-known momentum strategy. Moreover, they cannot be explained by market timing ability, investor sentiment, default, and liquidity risks. Similar results also hold if the portfolios are sorted based on other proxies of information uncertainty.