Abstract

http://ssrn.com/abstract=2182667
 
 

References (38)



 
 

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Technical Trading: A Trend Factor


Yufeng Han


University of Colorado at Denver - Business School

Guofu Zhou


Washington University in St. Louis - Olin School of Business

Yingzi Zhu


Tsinghua University - School of Economics & Management

July 28, 2014


Abstract:     
In this paper, we provide a general equilibrium model to analyze how technical traders compete trading with informed investors and how they affect stock prices. Based on the model, we propose a trend factor that captures cross-section short-, intermediate- and long-term stock price trends. The trend factor has an average return of 1.63% per month, doubling the market average return and quadrupling the market Sharpe ratio. During the recent financial crisis, it earns 0.79% per month while the market loses -2.03% per month. From an asset pricing perspective, it helps in explaining cross-section stock returns. Internationally, the trend factor also performs well in other G7 countries.

Number of Pages in PDF File: 68

Keywords: Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

JEL Classification: G11, G14

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Date posted: December 2, 2012 ; Last revised: July 29, 2014

Suggested Citation

Han, Yufeng and Zhou, Guofu and Zhu, Yingzi, Technical Trading: A Trend Factor (July 28, 2014). Available at SSRN: http://ssrn.com/abstract=2182667 or http://dx.doi.org/10.2139/ssrn.2182667

Contact Information

Yufeng Han
University of Colorado at Denver - Business School ( email )
1475 Lawrence St.
Denver, CO 80204
United States
303-3158458 (Phone)
Guofu Zhou (Contact Author)
Washington University in St. Louis - Olin School of Business ( email )
Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)
HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/
Yingzi Zhu
Tsinghua University - School of Economics & Management ( email )
Beijing, 100084
China
+86-10-62786041 (Phone)
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References:  38
Citations:  2
Footnotes:  9

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