Journal of Portfolio Management, Spring 2017, Vol. 43, No. 3: pp. 112-125

情绪和技术因子的表现

作者：Shu Feng (the Graduate School of Management at Clark University in Worcester, MA), Na Wang (the Frank G. Zarb School of Business at Hofstra University in Hempstead, NY), Edward J. Zychowicz (the Frank G. Zarb School of Business at Hofstra University)

摘要：这篇文章研究了不同市场情绪环境下技术交易策略的有效性。由于做空限制，相比于低迷情绪环境（即相对消极的情绪）中的价格低估，高涨情绪环境（即相对积极的情绪）中的价格高估更为常见，并且这种效应在那些难以套利的证券中更强。作者对1993年到2010年之间的技术因子进行检验，发现在情绪高涨时期技术因子的表现要优于情绪低迷时期。此外，这种情绪效应在小市值股票中更加显著。这一结论也通过了一系列的稳健性检验，并且作者强调了在使用技术因子时考虑情绪效应的重要性。

Sentiment and the Performance of Technical Indicators

Shu Feng (the Graduate School of Management at Clark University in Worcester, MA), Na Wang (the Frank G. Zarb School of Business at Hofstra University in Hempstead, NY), Edward J. Zychowicz (the Frank G. Zarb School of Business at Hofstra University)

ABSTRACT

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.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.3.112

翻译：唐国梅