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

  • Jonathan Fletcher
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    File URL: http://hdl.handle.net/10.1111/j.1468-5957.2011.02257.x
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    Article provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.

    Volume (Year): 38 (2011)
    Issue (Month): 9-10 (November)
    Pages: 1290-1310

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    Handle: RePEc:bla:jbfnac:v:38:y:2011:i:9-10:p:1290-1310
    DOI: j.1468-5957.2011.02257.x
    Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X

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    1. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
    2. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    3. Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers wp2007_0715, CEMFI.
    4. Greg Anderson & Jonathan Fletcher & Andrew Marshall, 2011. "Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 67-82.
    5. Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
    6. Tu, Jun & Zhou, Guofu, 2011. "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, vol. 99(1), pages 204-215, January.
    7. Devraj Basu & Roel Oomen & Alexander Stremme, 2010. "International Dynamic Asset Allocation and Return Predictability," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 1008-1025.
    8. Michael W. Brandt & Pedro Santa-Clara, 2004. "Dynamic Portfolio Selection by Augmenting the Asset Space," NBER Working Papers 10372, National Bureau of Economic Research, Inc.
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    10. Chan, Louis K. C. & Karceski, Jason & Lakonishok, Josef, 1998. "The Risk and Return from Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(02), pages 159-188, June.
    11. Chakradhara Panda & V. Narasimhan, 2006. "Predicting Stock Returns," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 7(2), pages 205-218, September.
    12. Ferson, Wayne E. & Foerster, Stephen R., 1994. "Finite sample properties of the generalized method of moments in tests of conditional asset pricing models," Journal of Financial Economics, Elsevier, vol. 36(1), pages 29-55, August.
    13. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
    14. Wayne E. Ferson & Andrew F. Siegel, 2009. "Testing Portfolio Efficiency with Conditioning Information," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2535-2558, July.
    15. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
    16. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
    17. Wayne E. Ferson, 2010. "Investment Performance Evaluation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 207-234, December.
    18. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
    19. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
    20. Ilan Cooper, 2009. "Time-Varying Risk Premiums and the Output Gap," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2601-2633, July.
    21. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    22. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
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