Journal of Banking and Finance ·Volume 92, pp 100–114· JULY 2018

会说话的数字：技术与基本面投资建议

作者：Doron Avramov (Chinese University of Hong Kong; The Hebrew University of Jerusalem) Guy Kaplanski (School of Business Administration, Bar-Ilan University) Haim Levy (The Hebrew University of Jerusalem)

摘要：市场效率可以由基本面分析或是技术分析对资产价格的预测能力来衡量。数十年的实证研究结果不一。本文使用来自电视节目“会说话的数字”的新数据库来重新检验。我们评估了1,599项投资建议的表现，其中每项建议都包含基本面和技术预测。我们发现，技术人员在一年内能够显著预测单只股票收益率。除此之外，市场效率的原假设不会被市场指数、股票、债券或大宗商品拒绝。

关键词：基本面分析；技术分析；市场效率；市场异象

Talking Numbers: Technical versus fundamental investment recommendations

Doron Avramov (Chinese University of Hong Kong; The Hebrew University of Jerusalem) Guy Kaplanski (School of Business Administration, Bar-Ilan University) Haim Levy (The Hebrew University of Jerusalem)

ABSTRACT

Market efficiency is often evaluated through the ability of fundamental analysis or technical trading rules to exploit predictable patterns in asset prices. The evidence following decades of empirical research is mixed. This paper reexamines the evidence using a novel database from the TV show “Talking Numbers.” We assess the performance of 1,599 investment recommendations, where each recommendation features a fundamental and a technical forecast. We show that technicians are able to predict individual stock returns to economically significant degrees up to a one-year horizon. Beyond that, the null hypothesis of market efficiency is not rejected for market-wide indices, equity sectors, bonds, or commodities.

Keywords: Fundamental analysis; Technical rules; Market efficiency; Market anomalies

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300992

翻译：张展