Fundamental Information in Technical Trading Strategies
研究利用财务报表中的经营现金流识别持久的价格上涨趋势，构建的交易策略优于纯技术动量策略，且收益超过交易成本。
Abstract: Technical trading strategies assume that past price trends predict future ones. Their application may be profitable if the past trend reflects fundamental information that has not yet been fully priced. However, if the trend merely reflects temporary pricing pressures, technical trading will presumably fail. We argue that using financial statements as an additional source of information helps to avoid such failure. We implement a trading strategy that uses operating cash flows to identify enduring past price upturns. This strategy outperforms a purely technical momentum strategy, seems to be practicable, and its profits exceed transactions costs.