An examination of dynamic trading strategies in U.K. and U.S. stock returns

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Abstract

This paper examines the performance benefits of using conditioning information in mean-variance strategies in U.K. and U.S. stock returns. The paper finds that after adjusting for trading costs, there are no significant performance benefits in using conditioning information in mean-variance strategies. This result stems from the high turnover that is required to implement dynamic trading strategies. The paper does find that after adjusting for costs, that the unconditional approach of Ferson and Siegel (2001) significantly outperforms alternative approaches of using conditioning information in mean-variance strategies in U.K. stock returns.
Original languageEnglish
Pages (from-to)1290-1310
Number of pages21
JournalJournal of Business Finance and Accounting
Volume38
Issue number9-10
DOIs
Publication statusPublished - Dec 2011

Keywords

  • dynamic trading strategies
  • stock markets
  • stock returns
  • mean-variance strategies

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