A Comparison of Some Aspects of the U.S. and Japanese Equity Markets

24 Pages Posted: 12 Mar 2016

See all articles by M. Bloch

M. Bloch

Independent

John Guerard

McKinley Capital Management, LLC

Harry Markowitz

University of California at San Diego

P. Todd

Independent

Ganlin Xu

Guidedchoice.com

Date Written: November 1991

Abstract

Comparing Japanese and U.S. securities markets, the paper shows that survivor bias affecting quantitative analysis is relatively minor in Japan and substantial in the U.S. 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: Equity market, optimized portfolios

JEL Classification: G11,G15

Suggested Citation

Bloch, M. and Guerard, John and Markowitz, Harry and Todd, P. and Xu, Ganlin, A Comparison of Some Aspects of the U.S. and Japanese Equity Markets (November 1991). Japan and the World Economy, Vol. 5, 1993. Available at SSRN: https://ssrn.com/abstract=2746016

M. Bloch

Independent

No Address Available

John Guerard (Contact Author)

McKinley Capital Management, LLC ( email )

3301 C St # 500
Anchorage, AK 99503
United States

Harry Markowitz

University of California at San Diego ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
(858) 534-3383 (Phone)

P. Todd

Independent

No Address Available

Ganlin Xu

Guidedchoice.com ( email )

8910 University Center Lane
Suite 400
San Diego, CA
United States

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