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An Examination of Dynamic Trading Stategies in UK and US Stock Returns
Author(s) -
Fletcher Jonathan
Publication year - 2011
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.2011.02257.x
Subject(s) - stock (firearms) , variance (accounting) , econometrics , economics , financial economics , trading strategy , stock trading , stock market , accounting , engineering , mechanical engineering , paleontology , horse , biology
This paper examines the performance benefits of using conditioning information in mean‐variance strategies in UK and US 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 UK stock returns.