On Technical Analysis

• 成果类型: Article
• 署名作者: Brown, David P.; Jennings, Robert H.
• 署名单位: Indiana University System; Indiana University Bloomington
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.4.527
• 发表日期: 1989
• 页码: 527
• 关键词: rational-expectations equilibrium; INFORMATION; MARKET; aggregation; EFFICIENCY

摘要

Technical analysis, or the use of past prices to infer private information, has value in a model in which prices are not fully revealing and traders have rational conjectures about the relation between prices and signals. A two-period dynamic model of equilibrium is used to demonstrate that rational investors use historical prices in forming their demands and to illustrate the sensitivity of the value of technical analysis to changes in the values of the exogenous parameters.