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Rev Fin 1989; 2:527-551
© 1989 the Society for Financial Studies

Article

On technical analysis

DP Brown and RH Jennings
Finance Department, School of Business, Indiana University, Bloomington, IN 47405, USA

Abstract

Technical analysis, or the use of past 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.


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