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
Full text not available in this repository. (Request a copy from the Strathclyde author)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 |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Pure Administrator |
| Date Deposited: | 06 Sep 2011 15:02 |
| Last modified: | 20 Jun 2012 15:46 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/33138 |
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