PT  - JOURNAL ARTICLE
AU  - Min Qi
AU  - Xinlei Zhao
TI  - Market Breadth, Trin Statistic,and Market Returns
AID  - 10.3905/joi.2008.701962
DP  - 2008 Feb 29
TA  - The Journal of Investing
PG  - 65--73
VI  - 17
IP  - 1
4099  - https://pm-research.com/content/17/1/65.short
4100  - https://pm-research.com/content/17/1/65.full
AB  - This article investigates the predictability and profitability of two technical indicators that have been well known to practicing analysts for a long time but have yet to be thoroughly examined in the literature: the market breadth and the trin statistic. We find that these indicators show strong predictive power for returns in the near future, but the predictability does weaken drastically or even disappear in the most recent decade. We also investigate profits of the trading strategies based on these indicators and find that they stem mainly from frequent trading. These indicators may present profitable opportunities for investors who can trade small stocks with low transaction costs.TOPICS: Analysis of individual factors/risk premia, statistical methods, technical analysis