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

M. Bloch, J. Guerard, Harry Markowitz, P. Todd and G. Xu

Chapter 3 in Handbook of Applied Investment Research, 2020, pp 17-40 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2020
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Journal Article: A comparison of some aspects of the U.S. and Japanese equity markets (1993)
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