Estimating the Portion of Technical Analysts in a Market
16 Pages Posted: 29 Sep 2017
Date Written: December 1, 2016
This paper presents structural estimates of the portion of technical analysts in six markets. I find that the portion of technical analysts in the US equity market has been decreasing since the 1970s. A simple asset pricing model predicts that both risk and return are increasing in the portion of technical analysts. This prediction is confirmed across stock market indexes for six countries.
Keywords: Technical Analysis, Market Volatility, Model Averaging
JEL Classification: G12, C11, G02
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