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

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  • Jonathan Fletcher

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  • Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
  • Handle: RePEc:bla:jbfnac:v:38:y:2011:i:9-10:p:1290-1310
    DOI: j.1468-5957.2011.02257.x
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    References listed on IDEAS

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    1. Michael W. Brandt & Pedro Santa-Clara, 2006. "Dynamic Portfolio Selection by Augmentingthe Asset Space," Journal of Finance, American Finance Association, vol. 61(5), pages 2187-2217, October.
    2. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
    3. 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.
    4. 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, May.
    5. 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.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    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. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
    9. Wayne E. Ferson, 2010. "Investment Performance Evaluation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 207-234, December.
    10. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
    11. 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.
    12. 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.
    13. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
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    15. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
    16. 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.
    17. 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.
    18. 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.
    19. 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.
    20. Hodrick, Robert J. & Zhang, Xiaoyan, 2001. "Evaluating the specification errors of asset pricing models," Journal of Financial Economics, Elsevier, vol. 62(2), pages 327-376, November.
    21. 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.
    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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