Sentiment and the Performance of Technical Indicators
研究了1993至2010年间，技术交易策略在不同市场情绪环境下的有效性，发现高情绪时期技术指标表现更好，且对小盘股影响更显著。
This article studies the effectiveness of technical trading approaches in market environments of varying sentiment. Because of short-sale constraints, overpricing with high sentiment (i.e., relatively optimistic sentiment) is more prevalent compared to underpricing with low sentiment (i.e., relatively pessimistic sentiment), and this effect is stronger on difficult-to-arbitrage securities. The authors find consistent evidence over the period from 1993 to 2010 that the examined set of technical indicators perform better during periods of high sentiment than during periods of low sentiment. Moreover, this sentiment effect is relatively more pronounced for small stocks. These findings hold after a number of robustness checks are applied, and they highlight the importance of incorporating the sentiment effect when using technical indicators. <b>TOPIC:</b>Technical analysis