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

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.
LanguageEnglish
Pages1290-1310
Number of pages21
JournalJournal of Business Finance and Accounting
Volume38
Issue number9-10
DOIs
Publication statusPublished - Dec 2011

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Conditioning
Stock returns
Mean-variance
Trading strategies
Turnover
Costs
Trading costs

Keywords

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

Cite this

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An examination of dynamic trading strategies in U.K. and U.S. stock returns. / Fletcher, Jonathan.

In: Journal of Business Finance and Accounting, Vol. 38, No. 9-10, 12.2011, p. 1290-1310.

Research output: Contribution to journalArticle

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