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A comparison of some aspects of the U.S. and Japanese equity markets

Author

Listed:
  • Bloch, M.
  • Guerard, J.
  • Markowitz, H.
  • Todd, P.
  • Xu, G.

Abstract

Comparing Japanese and U.S. securities market, the paper shows that survivor bias affecting quantitative analysis is relatively minor in Japan and substantial in the U.S. The realized average returns vs. standard derivation curve for the two countries is also quite different. But the paper suggests that the constraint levels and estimation procedures that did best in both countries in the past will do well in the future.
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Suggested Citation

  • Bloch, M. & Guerard, J. & Markowitz, H. & Todd, P. & Xu, G., 1993. "A comparison of some aspects of the U.S. and Japanese equity markets," Japan and the World Economy, Elsevier, vol. 5(1), pages 3-26, May.
  • Handle: RePEc:eee:japwor:v:5:y:1993:i:1:p:3-26
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    Cited by:

    1. Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
    2. Xia, Hui & Min, Xinyu & Deng, Shijie, 2015. "Effectiveness of earnings forecasts in efficient global portfolio construction," International Journal of Forecasting, Elsevier, vol. 31(2), pages 568-574.
    3. Buncic, Daniel & Stern, Cord, 2019. "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    4. Ding, Zhuanxin & Martin, R. Douglas, 2017. "The fundamental law of active management: Redux," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 91-114.
    5. Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.
    6. Gillam, Robert A. & Guerard, John B. & Cahan, Rochester, 2015. "News volume information: Beyond earnings forecasting in a global stock selection model," International Journal of Forecasting, Elsevier, vol. 31(2), pages 575-581.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G1 - Financial Economics - - General Financial Markets

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