Welcome to the Academy of Financial Service’s 2019 Annual Meeting being held in Minneapolis, Minnesota in conjunction with FPA’s Annual Conference 2019. This is the full agenda for AFS. For details on FPA items, visit their Full Schedule. Please report any errors to support@academyfinancial.org.
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Wednesday, October 16 • 3:30pm - 4:30pm
G1a Fundamental Analysis versus Technical Analysis: Which Matters More?

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Whether fundamental analysis or technical analysis should be employed to predict stock returns is a longstanding debate in the literature. Incorporating a regime-switching mechanism, we establish a hybrid model with non-uniform weightings on each type of analysis to examine the debate. Our empirical results are consistent with the following notions. First, stock investors should give more weight to fundamental analysis for firms with incremental information involved in accounting reporting. Second, stock investors care more about the intrinsic value of firms obtained with fundamental analysis when encountering information asymmetry or uncertainty. Third, the weight given to fundamental analysis should be increased for stocks with unusual volatility in prices. However, when the market is crashing, fundamental analysis might become invalid, and thus the weighting given to fundamental analysis should be decreased. For technical analysis, the reverse of these arguments holds true. The results are robust to alternative measures of the variables.

Author(s): Leon Li


Leon Li

Associate Professor of Finance and Subject Convenor, Finance, University of Waikato

Wednesday October 16, 2019 3:30pm - 4:30pm CDT
201 A

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