When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis

50 Pages Posted: 24 Feb 2019 Last revised: 30 Jul 2021

See all articles by Zhaobo Zhu

Zhaobo Zhu

Shenzhen University; Audencia Business School

Licheng Sun

Old Dominion University

Date Written: August 7, 2018

Abstract

Motivated by the implication of prominent behavioral models that a joint consideration of past price changes and firm fundamentals could efficiently identify stock mispricing, we propose an integrated approach that combines fundamental and technical information. This integrated approach generates substantial economic gains, which are comparable to those of strategies double-sorted on characteristics related to high turnover and trading costs and state-of-the-art machine learning strategies in existing studies. The performance net of transaction costs is still attractive. Consistent with behavioral models, limits to arbitrage and information asymmetry play a significant role in explaining the super performance of this integrated approach.

Keywords: Fundamental Analysis; Technical Analysis; Arbitrage Risk; Informed Trading

JEL Classification: G11, G12, G14

Suggested Citation

Zhu, Zhaobo and Sun, Licheng, When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis (August 7, 2018). Available at SSRN: https://ssrn.com/abstract=3330402 or http://dx.doi.org/10.2139/ssrn.3330402

Zhaobo Zhu (Contact Author)

Shenzhen University ( email )

3688 Nanhai Road, Nanshan District
Shenzhen, Guangdong 518060
China

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

Licheng Sun

Old Dominion University ( email )

Strome College of Business
Department of Finance
Norfolk, VA 23529-0222
United States

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