An Examination of Dynamic Trading Stategies in UK and US Stock Returns

被引：2

作者：

Fletcher, Jonathan ^{[1
]}

机构：

[1] Univ Strathclyde, Dept Accounting & Finance, Glasgow G4 0LN, Lanark, Scotland

来源：

JOURNAL OF BUSINESS FINANCE & ACCOUNTING | 2011年 / 38卷 / 9-10期

关键词：

mean-variance analysis; dynamic trading strategies; CONDITIONING INFORMATION; NAIVE DIVERSIFICATION; PERFORMANCE; SELECTION; RISK;

D O I：

10.1111/j.1468-5957.2011.02257.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1290 / 1310

页数：21

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