The Development of Mean–Variance-Efficient Portfolios in Japan and the United States: 25 Years After; or, What Has Driven Stock Selection Models in Japan and the United States?

Volume: 26, Issue: 1, Pages: 70 - 93
Published: Feb 28, 2017
Abstract
Stock selection models have been, and can be, effectively employed in Japan to deliver excess returns. In 1992, the initial year of this journal’s publication, Guerard and Takano reported the effectiveness of mean-variance efficient portfolios for the Japanese and U.S. equity markets. In this update to celebrate 25 years of The Journal of Investing, the author uses a commercially available global database, FactSet, for the 2002 to June 2016 time...
Paper Details
Title
The Development of Mean–Variance-Efficient Portfolios in Japan and the United States: 25 Years After; or, What Has Driven Stock Selection Models in Japan and the United States?
Published Date
Feb 28, 2017
Volume
26
Issue
1
Pages
70 - 93
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.