An Examination of Dynamic Trading Stategies in UK and US Stock Returns
研究了在英美股票收益中使用条件信息进行均值方差策略的表现，发现考虑交易成本后，条件信息并未带来显著收益提升，而Ferson和Siegel的无条件方法在英国股票中表现更优。
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.