Technical analysis as a sentiment barometer and the cross-section of stock returns
用多种技术交易策略构建了一个每日市场情绪指标，该指标与常用情绪度量高度相关，能正向预测短期收益、反向预测长期收益，并产生显著超额回报。
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.