استفاده از تجزیه و تحلیل فنی توسط مدیران سرمایه: شواهد بین المللی

The use of technical analysis by financial market professionals is not well understood. This paper thus analyzes survey evidence from 692 fund managers in five countries, the vast majority of whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis is the most important form of analysis and up to this horizon it is thus more important than fundamental analysis. Technicians are as experienced, as educated, as successful in their career and largely just as overconfident in decision-making as others. However, technical analysis is somewhat more popular in smaller asset management firms. What we find most significant is the relation of technical analysis with the view that prices are heavily determined by psychological influences. Consequently, technicians apply trend-following behavior.

Some decades ago, the use of technical analysis was heavily debated in academia (see Fama, 1970). Since then, however, modern capital market theory has revolutionized fund management, seemingly taking the grounds away for non-fundamental analyses. So it may be puzzling that even a superficial contact with real world fund management already reveals the survival of a prominent non-fundamental kind of analysis, i.e. technical analysis. Interestingly, in academia, forms of this analysis are also seriously analyzed, as shown by articles in leading journals.1 We can thus conclude that technical analysis is still an issue in financial markets, both in practice and in academia. In contrast to this relevance, however, according to our knowledge, there is no systematic information about the use of technical analysis in fund management. How important is technical analysis nowadays, how do professionals use it and why do professionals use it at all? This paper provides evidence on these questions, based on a broad survey study conducted with 692 fund managers in five markets, namely the US, Germany, Switzerland, Italy and Thailand. We have deliberately chosen to use data about fund managers in our examination of the use of technical analysis for two reasons. First, fund managers have evolved as the most important group in modern financial markets when it comes to holdings and transactions (Davis and Steil, 2001), so they are of undisputed empirical importance when it comes to understanding real world markets. Second, fund managers are – in contrast to individual investors – highly qualified market participants; this exempts them from any concerns about a lack of professionalism. Accordingly, if there is evidence that technical analysis plays a significant role in their decision making, this finding is not rooted in the examination of a dubious or marginal group. On the contrary, a use of technical analysis by fund managers would be an important factor to be considered when attempting to reach an appropriate theoretical understanding of financial markets. We find that technical analysis is highly important as an information category. The share of fund managers that put at least some importance on technical analysis is very large at 87% and a major group (18%) even generally prefers it to other ways of information processing. Nevertheless, technical analysis does not dominate the decision-making of fund managers in general. Fundamental analysis gets the highest relative importance at 68% as compared to 22% for technical analysis and 10% for flows (equal weighting of countries). When we focus on forecasting horizons, however, we find that technical analysis is the most important form of analysis for decisions with forecasting horizons of some weeks, dominating fundamental analysis up to this horizon. So, technical analysis is obviously in wide-spread and relevant use among fund managers.2 Given this unexpected fact – from the view of conventional capital market theory – what may the motivation for the application of technical analysis be? We structure our examination of possible motivations according to three major positions that can be stated with reference to the efficient market hypothesis (EMH) and which are subsequently introduced at length in Section 3. According to position 1, arguing from the viewpoint of efficient financial markets, technical analysis is seen as a sign of less than fully rational behavior. A somewhat modified EMH-view, our position 2, argues that the use of technical analysis may be a rational response to high information costs. Finally, we reduce the understanding of efficient markets to its minimum condition, i.e. the absence of strategies that generate systematic excess returns, our position 3. According to this position, heterogeneous agents possess different sets of information or different beliefs about market processes, the use of technical analysis being a sign of this heterogeneity. We test these three positions by relating the intensity of the use of technical analysis to fund managers’ answers to respective items of the survey. Evidence supports position 3, somewhat supports position 2 but does not support position 1. In order to test position 1, i.e. users of technical analysis are irrational, we relate the use of technical analysis to personal indicators of fund managers, such as experience or the degree of education – without any significant findings. The same non-result is found when we use – for the first time in this literature – indicators of overconfidence in order to test whether users of technical analysis are inferior to non-users. So there is no evidence that technical analysis is preferred by less rational or otherwise inferior fund managers, which is in line with findings from foreign exchange (e.g. Menkhoff, 1998 and Cheung et al., 2004). Our most interesting result with respect to position 2 is the fact that technical analysis is more heavily used in smaller fund management firms. As these firms have less capacity to conduct or to buy first-class fundamental research, technical analysis may serve as a second best (cheaper) form of analysis. Finally, regarding position 3, we obtain strong results again, indicating that users of technical analysis share a view about financial markets that is different from non-users. They seem to believe that psychological factors are important and that herding is beneficial.3 Users of technical analysis consequently react to this view with trend-following behavior (and also by relying more strongly on momentum and contrarian investment strategies). The remainder of the paper is structured into seven more parts. Section 2 refers our examination of technical analysis to related literature. Section 3 leads into the above-mentioned three positions that guide our discussion. Section 4 presents the data that have been compiled for this study. Section 5 describes the international evidence with respect to the importance of using technical analysis by fund managers. Possible motivations for the important role of technical analysis are analyzed in Sections 6 and 7. Section 8 concludes.

From an academic point of view, the use of technical analysis is mostly looked upon very skeptically, as it seems difficult to imagine why backward-looking behavior should help investors to predict future returns. This skepticism is well expressed in Fama’s (1970) statement that financial markets are weakly efficient, implying that the analysis of past prices cannot provide profitable forecasts. In contrast to this established view in the finance profession, practitioners seem to rely on technical analysis. This paper presents survey evidence from fund managers in five countries in order to better understand this phenomenon: How important is technical analysis among professionals nowadays, how do they use it and why do they use it? We present empirically substantiated answers to all the three questions just raised; findings hold for each of the five countries examined: First, technical analysis is important, as the vast majority of fund managers use it to some extent. Second, technical analysis is used in preference as a complement to fundamental analysis. As such, it is used at shorter-term forecasting horizons. Up to horizons of weeks, it is more important than fundamental analysis in all countries. Third, our evidence strongly supports what we have called position 3; that is the view of heterogeneous information processing in financial markets. Users of technical analysis share the view that psychological influences are an important pricing determinant in financial markets, they tend to believe that herding is beneficial and thus rely on trend-following behavior. We also find some support for position 2, indicating that high information costs of fundamental analysis may contribute to the use of technical analysis. There is no consistent evidence for position 1 that the users of technical analysis may be in some way inferior to other fund managers – they are equally well experienced, educated, successful and overconfident in decision-making. Overall, does this suggest that financial markets are inefficient? To be sure, this research does not provide an answer to this question. We would prefer to take Fama’s (1970) advice seriously, not to regard market efficiency too literally. There is obviously severe disagreement about the most appropriate understanding of financial markets: Some fund managers seem to believe more in the power of conventional fundamentals to explain returns, whereas others see an important role for psychological influences. Finding consistent behavior among these professionals may provide some reassurance: Each group will consider its own reactions as rational.