A Comparison of Some Aspects of the U.S. and Japanese Equity Markets
24 Pages Posted: 12 Mar 2016
Date Written: November 1991
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: Suggested Citation