Mặc dù đã có nhiều cuộc kiểm tra của phân tích kỹ thuật trong những năm qua, hầu hết các xét nghiệm này đã tập trung vào lợi nhuận kinh doanh kỹ thuật Mặc dù một số những nghiên cứu này không tìm thấy các chỉ số kỹ thuật có thể tạo ra lợi nhuận kinh doanh có ý nghĩa thống kê, nhưng họ cầu xin những câu hỏi hay không lợi nhuận đó chỉ đơn thuần là tiền thuê trạng thái cân bằng tích lũy cho các nhà đầu tư sẵn sàng chịu rủi ro liên quan với. | Foundations of Technical Analysis 1725 Double Top CTX 92-96 Days 307-344 Day a Double Top b Double Bottom Figure 7. Double tops and bottoms. 1726 The Journal of Finance III. Is Technical Analysis Informative Although there have been many tests of technical analysis over the years most of these tests have focused on the profitability of technical trading Although some of these studies do find that technical indicators can generate statistically signif icant trading prof its but they beg the question of whether or not such prof its are merely the equilibrium rents that accrue to investors willing to bear the risks associated with such strategies. Without specifying a fully articulated dynamic general equilibrium asset-pricing model it is impossible to determine the economic source of trading profits. Instead we propose a more fundamental test in this section one that attempts to gauge the information content in the technical patterns of Section by comparing the unconditional empirical distribution of returns with the corresponding conditional empirical distribution conditioned on the occurrence of a technical pattern. If technical patterns are informative conditioning on them should alter the empirical distribution of returns if the information contained in such patterns has already been incorporated into returns the conditional and unconditional distribution of returns should be close. Although this is a weaker test of the effectiveness of technical analysis informativeness does not guarantee a profitable trading strategy it is nevertheless a natural f irst step in a quantitative assessment of technical analysis. To measure the distance between the two distributions we propose two goodness-of-fit measures in Section . We apply these diagnostics to the daily returns of individual stocks from 1962 to 1996 using a procedure described in Sections to and the results are reported in Sections and . A. Goodness-of-Fit Tests A simple
