资产定价 On technical analysis.docVIP

On Technical Analysis It is well known that current spot prices of traded assets provide information about future spot prices when market participants are heterogeneously informed. However, spot prices generally are imperfect aggregators of private information. For example, if the current spot price depends on the unobserved current supply of the good as well as on the private information of market participants, then it is not a sufficient statistic for the private information. Consequently, market participants use their private signals in addition to the observed price in forming their de