Picture map of Europe with pins indicating European capital cities

Open Access research with a European policy impact...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the European Policies Research Centre (EPRC).

EPRC is a leading institute in Europe for comparative research on public policy, with a particular focus on regional development policies. Spanning 30 European countries, EPRC research programmes have a strong emphasis on applied research and knowledge exchange, including the provision of policy advice to EU institutions and national and sub-national government authorities throughout Europe.

Explore research outputs by the European Policies Research Centre...

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

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.