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The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including those from the School of Psychological Sciences & Health - but also papers by researchers based within the Faculties of Science, Engineering, Humanities & Social Sciences, and from the Strathclyde Business School.

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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.