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

Fletcher, Jonathan (2011) An examination of dynamic trading strategies in U.K. and U.S. stock returns. Journal of Business Finance and Accounting, 38 (9-10). pp. 1290-1310. ISSN 0306-686X

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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.

Item type: Article
ID code: 33138
Keywords: dynamic trading strategies, stock markets, stock returns, mean-variance strategies , Finance, Finance, Business, Management and Accounting (miscellaneous), Accounting
Subjects: Social Sciences > Finance
Department: Strathclyde Business School > Accounting and Finance
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Depositing user: Pure Administrator
Date Deposited: 06 Sep 2011 15:02
Last modified: 23 Jun 2014 15:00
URI: http://strathprints.strath.ac.uk/id/eprint/33138

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