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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 on Feb 11, 2017in The Journal of Investing
· DOI :10.3905/joi.2017.26.1.070
John B. Guerard14
Estimated H-index: 14
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 period to address stock selection composite models and mean-variance efficient portfolios in Japan and the United States. He reports three results: (1) the original stock selection continues to be effective in Japan and the United States in the 2002 to June 2016 period; (2) the mean-variance efficient portfolios outperformed in Japan and the United States in the 2002 to June 2016 period in 67% of years post-publication; and (3) the Guerard and Takano stock selection model is not the result of data mining.
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  • Citations (4)
References51
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