Nonlinear Investing: Japan Stock Selection Strategy

Lingjie Ma ()
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Lingjie Ma: University of Illinois, Chicago, Finance

Chapter Chapter 6 in Nonlinear Investing: A Quantamental Approach, 2025, pp 197-242 from Springer

Abstract: Abstract This chapter explains how to employ nonlinear modeling to devise stock selection strategies through a quantamental approach. We demonstrate this process by developing a large capitalization investment strategy for the Japanese stock market. We begin by investigating fundamentals at both the macroeconomic and microstructural levels, especially aspects of the Japanese market that differ from the US market. For example, cash is king in the US stock market, but that is not the case in the Japanese stock market. Those differences between the Japanese and US stock markets at the microstructural level derive from fundamental corporate, economic, social, and cultural differences between the two nations. We then employ the quantamental approach to combine these insights and information to arrive at a nonlinear Japanese stock selection strategy.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-76305-2_6

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DOI: 10.1007/978-3-031-76305-2_6

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