Technical indicators and cross-sectional expected returns

Hui Zeng, Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti

Global Finance Journal, 2023, vol. 56, issue C

Abstract: This study shows that 14 widely documented technical indicators explain cross-sectional stock returns. These indicators have lower estimation errors than the three-factor Fama–French and historical mean models. The long-short portfolios based on the cross-sectional technical signals generate substantial excess returns. These remain consistent after controlling for well-known cross-sectional return determinants, including momentum, size, book-to-market ratio, investment, and profitability. Our findings suggest that technical indicators play an important role in determining variation in cross-sectional returns.

Keywords: Cross-sectional stock returns; Technical indicators; Three-factor Fama-French model; Cross-sectional expected return determinants (search for similar items in EconPapers)
JEL-codes: C31 E32 G17 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:56:y:2023:i:c:s1044028322000837

DOI: 10.1016/j.gfj.2022.100781

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