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

Authors

  • Jonathan Fletcher

    Corresponding author
    1. The author is from the University of Strathclyde. Helpful comments were received from an anonymous referee and Andrew Stark (editor). The author is grateful to the provision of data from Ken French, Amit Goyal and Stefan Nagel from their respective web sites.
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Jonathan Fletcher, Department of Accounting and Finance, University of Strathclyde, Curran Building, 100 Cathedral Street, Glasgow G4 0LN, UK. 
e-mail: j.fletcher@strath.ac.uk

Abstract

Abstract:  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.

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