RT Journal Article
SR Electronic
T1 Popularity versus Profitability: <em>Evidence from Bollinger Bands</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 152
OP 159
DO 10.3905/jpm.2017.43.4.152
VO 43
IS 4
A1 Jiali Fang
A1 Ben Jacobsen
A1 Yafeng Qin
YR 2017
UL https://pm-research.com/content/43/4/152.abstract
AB Many return predictability anomalies disappear over time. One explanation is that investors arbitrage profits away. But investors have always used technical analysis, so this argument may not apply to technical analysis strategies. In this article, the authors study what happens when a new technical trading rule appears and becomes popular over time. Bollinger Bands, introduced in 1983, provide a natural experiment. Before their introduction, trading on Bollinger Bands was very profitable. However, since their introduction, their predictive power seems to have gradually decreased, and it has largely disappeared in most international markets since 2001, the year that Bollinger published his book on Bollinger Bands.TOPIC: Technical analysis