Информационный центр "Центральный Дом Знаний"
Онлайн всего: 1 Гостей: 1 Пользователей: 0
|
Brown D.P., Jennings R.H. On technical analysis (1989)Brown D.P., Jennings R.H. Technical analysis, or the use ofpast prices to infer private information, has value in a model in which prices are not fully revealing and traders have rational conjectures about the relation between prices and signals. A two-period dynamic model of equilibrium is used to demonstrate that rational investors use historical prices in forming their demands and to illustrate the sensitivity of the value of technical analysis to changes in the values of the exogenous parameters. It is well known that current spot prices of traded assets provide information about future spot prices when market participants are heterogeneously informed. However, spot prices generally are imperfect aggregators of private information. For example, if the current spot price depends on the unobserved current supply of the good as well as on the private information of market participants, then it is not a sufficient statistic for the private information. Consequently, market participants use their private signals in addition to the observed price in forming their demands. Noise in the current equilibrium spot price also makes it impossible for that price to reveal perfectly the private information from earlier periods. As a result, historical prices together with current prices allow more accurate inferences about past and present signals than do current prices alone. Because current spot prices are not fully revealing, past prices, that is, technical analysis, provide information to agents forming their demands. Consider a three-date model in which the time 1 aggregate supply of the risky asset is uncertain, and investors receive private signals about the time 3 payoff of the asset.1 In this setting, an individual is unable to infer the average value of all investors' signals (a sufficient statistic for the aggregate information set) by observing the time 1 price and his own private signal. Suppose that investors receive additional information at time 2. If the investors' time 1 signals remain private, and the time 2 aggregate supply also is uncertain, then each investor will find it impossible to infer the average time 1 or time 2 signal from the time 2 price. The time 1 price is useful in learning about the aggregate information set because it is not perturbed by the noisy variation in the time 2 supply; however it also is not influenced by time 2 signals. Hence, inferences about the signals from either the time 1 price or the time 2 price alone are strictly dominated by inferences considering both prices. Individuals employ technical analysis (ТА) even though the time 2 price is set competitively by rational investors using all public information, including the time 1 price. One implication is that financial markets are not weak-form efficient in the sense that the current price reflects all information contained in past prices. However, the degree to which forecasts of future spot prices are improved by the use of ТА remains an open question. Hellwig (1982), Singleton (1985), and Grundy and McNichols (1989) also develop models in which historical prices are useful to investors in equilibrium. In Hellwig's model, investors are constrained from using current price in forming their demands and must use the most recent past price as a substitute. Additional historical prices are not useful. Singleton studies the stationary, temporal behavior of asset prices in an economy with an infinity of trading dates and myopic investors. He finds that the time-series properties of asset prices are similar across two alternative economies: one with heterogeneously informed investors and the other with homogeneously, partially informed investors. Because ТА has no value when investors are homogeneously informed, our analysis demonstrates that investment demand may be sensitive to the distinction between homogeneous and heterogeneous information even if price behavior is not. Grundy and McNichols examine a two-period economy in which investors receive correlated, private signals at time 1 and a time 2 public signal. They demonstrate existence and examine properties of linear, rational price functions when there is no time 2 variation in supply, and they discuss the effects of the addition of a second supply variation. In our model, investors' time 1 and 2 signals are private and uncorrected. Furthermore, we focus exclusively on the case in which supply variations occur in each period. In the following section, a dynamic, two-period model of asset prices is introduced. Alternative economies of rational and myopic investors are presented. Equilibria are shown to exist generally for the myopic-investor economy and for special cases of the rational-investor economy. Equilibria of the rational-investor economy are analyzed numerically in Section 2. The form of the resulting prices as functions of exogenous information allows a discussion of the rationale for ТА. Implications of the analysis are compared to extant definitions of weak-form efficiency in Section 3. Section 4 summarizes and concludes the article. |
Loading
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
On technical analysis (1989)