{"id":"https://openalex.org/W1978580402","doi":"https://doi.org/10.3905/joi.2006.616843","title":"Quantitative Stock Selection in Japan and the United States","display_name":"Quantitative Stock Selection in Japan and the United States","publication_year":2006,"publication_date":"2006-02-28","ids":{"openalex":"https://openalex.org/W1978580402","doi":"https://doi.org/10.3905/joi.2006.616843","mag":"1978580402"},"language":"en","primary_location":{"id":"doi:10.3905/joi.2006.616843","doi":"https://doi.org/10.3905/joi.2006.616843","is_oa":false,"landing_page_url":"https://doi.org/10.3905/joi.2006.616843","pdf_url":null,"source":{"id":"https://openalex.org/S118000741","display_name":"The Journal of Investing","issn_l":"1068-0896","issn":["1068-0896","2168-8613"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","cwts-core","jufo-1","norway-1","poland-20","russia-white-list-4","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Investing","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5021975117","display_name":"John B. Guerard","orcid":"https://orcid.org/0000-0003-4560-525X","observed_orcids":["https://orcid.org/0000-0003-4560-525X"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"John B.. Guerard","raw_affiliation_strings":["Co-Director of Quantitative Research McKinley Capital Management, Inc. in Anchorage, AK. jguerard@mckinleycapital.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Co-Director of Quantitative Research McKinley Capital Management, Inc. in Anchorage, AK. jguerard@mckinleycapital.com","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5021975117"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.7014,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.88305382,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"15","issue":"1","first_page":"43","last_page":"49"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9560999870300293,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9560999870300293,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.033900000154972076,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12675","display_name":"Financial Reporting and Valuation Research","score":0.003700000001117587,"subfield":{"id":"https://openalex.org/subfields/1408","display_name":"Strategy and Management"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/fundamental-analysis","display_name":"fundamental analysis","score":0.5149999856948853},{"id":"https://openalex.org/keywords/japanese-stock-market","display_name":"Japanese stock market","score":0.6230000257492065},{"id":"https://openalex.org/keywords/us-stock-market","display_name":"US stock market","score":0.9570000171661377},{"id":"https://openalex.org/keywords/abnormal-returns","display_name":"abnormal returns","score":0.5899999737739563},{"id":"https://openalex.org/keywords/information-coefficient","display_name":"information coefficient","score":0.7239999771118164},{"id":"https://openalex.org/keywords/analyst-forecast-revisions","display_name":"analyst forecast revisions","score":0.5059999823570251},{"id":"https://openalex.org/keywords/global-variables","display_name":"global variables","score":0.4959999918937683},{"id":"https://openalex.org/keywords/mean-variance-efficient-portfolios","display_name":"mean-variance efficient portfolios","score":0.6150000095367432}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6195625066757202},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5607091188430786},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5499739050865173},{"id":"https://openalex.org/C2781426361","wikidata":"https://www.wikidata.org/wiki/Q5326940","display_name":"Earnings","level":2,"score":0.5174180269241333},{"id":"https://openalex.org/C163428354","wikidata":"https://www.wikidata.org/wiki/Q1047513","display_name":"Cash flow","level":2,"score":0.4675143361091614},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.4490063786506653},{"id":"https://openalex.org/C2991665230","wikidata":"https://www.wikidata.org/wiki/Q2651003","display_name":"Excess return","level":3,"score":0.44398343563079834},{"id":"https://openalex.org/C169824061","wikidata":"https://www.wikidata.org/wiki/Q1761731","display_name":"Book value","level":3,"score":0.4388279318809509},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.437194287776947},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.4148893654346466},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3807106018066406},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3573097586631775},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.29808178544044495},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2260768711566925},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18498483300209045},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.15159061551094055},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/joi.2006.616843","doi":"https://doi.org/10.3905/joi.2006.616843","is_oa":false,"landing_page_url":"https://doi.org/10.3905/joi.2006.616843","pdf_url":null,"source":{"id":"https://openalex.org/S118000741","display_name":"The Journal of Investing","issn_l":"1068-0896","issn":["1068-0896","2168-8613"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","cwts-core","jufo-1","norway-1","poland-20","russia-white-list-4","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Investing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W67208488","https://openalex.org/W111591754","https://openalex.org/W1562683833","https://openalex.org/W1573995267","https://openalex.org/W1753350838","https://openalex.org/W1967872601","https://openalex.org/W1972051025","https://openalex.org/W1976658031","https://openalex.org/W1989040404","https://openalex.org/W1989168267","https://openalex.org/W2023680600","https://openalex.org/W2033894760","https://openalex.org/W2075699513","https://openalex.org/W2075764474","https://openalex.org/W2104964789","https://openalex.org/W2135824653","https://openalex.org/W2139753118","https://openalex.org/W2149170345","https://openalex.org/W2152969713","https://openalex.org/W2166215547","https://openalex.org/W2172685924","https://openalex.org/W2280131726","https://openalex.org/W2317846530","https://openalex.org/W2333022893","https://openalex.org/W2795413297","https://openalex.org/W3124396188","https://openalex.org/W3125361642","https://openalex.org/W4236670843","https://openalex.org/W4251733784"],"related_works":["https://openalex.org/W2950941064","https://openalex.org/W2587407577","https://openalex.org/W4387545956","https://openalex.org/W4405075963","https://openalex.org/W4401420334","https://openalex.org/W4281297145","https://openalex.org/W3014082989","https://openalex.org/W2171559186","https://openalex.org/W4236938473","https://openalex.org/W2295079628"],"abstract_inverted_index":{"Stock":[0],"selection":[1,117,190],"models":[2,95,118,197],"have":[3],"been,":[4],"and":[5,27,37,41,58,74,82,97,114,141,152,155,207],"can":[6],"be,":[7],"effectively":[8],"employed":[9],"in":[10,18,139],"Japan":[11,140],"to":[12,133,159,170],"deliver":[13],"excess":[14,86],"returns.":[15],"In":[16,109],"1992,":[17],"the":[19,35,44,78,98,104,112,135,142,176,181,202],"initial":[20],"year":[21],"of":[22,46,51,94,106,175,183,194],"this":[23,110],"Journal9s":[24],"publication,":[25],"Guerard":[26,113],"Takano":[28,115],"(1992)":[29],"reported":[30],"mean-variance":[31],"efficient":[32],"portfolios":[33],"for":[34],"Japanese":[36],"U.S.":[38,143],"equity":[39,65,210],"markets,":[40],"show":[42,156],"that":[43,84,186],"use":[45,174],"a":[47,92,124,146],"regression-weighted":[48],"composite":[49,79,99],"model":[50,80,100,131,166],"earnings,":[52],"book":[53],"value,":[54],"cash":[55],"flow,":[56],"sales,":[57],"their":[59,63],"relative":[60],"variables":[61,185],"outperformed":[62],"respective":[64],"benchmarks":[66],"by":[67],"approximately":[68],"400":[69],"basis":[70],"points":[71],"annually.":[72],"Markowitz":[73],"Xu":[75],"(1994)":[76],"tested":[77],"strategy":[81,101],"found":[83],"its":[85,157],"returns":[87],"were":[88],"statistically":[89],"significant":[90],"from":[91],"variety":[93],"tested,":[96],"was":[102],"not":[103,199],"result":[105],"data":[107],"mining.":[108],"analysis,":[111],"stock":[116,160,189],"are":[119,168],"updated":[120],"through":[121],"2001":[122],"using":[123],"similar":[125,169,188],"Japanese-only":[126,163],"database.":[127],"The":[128,173,192],"sophisticated":[129],"regression":[130],"continues":[132],"produce":[134,187],"highest":[136],"information":[137],"coefficients":[138],"We":[144],"include":[145],"consensus":[147],"analyst":[148,164],"derived":[149],"forecast,":[150],"revisions,":[151],"breadth":[153],"variable,":[154],"contribution":[158],"selection.":[161],"Several":[162],"forecasting":[165],"results":[167],"U.S.-only":[171],"results.":[172],"Global":[177],"Compustat":[178],"database":[179],"allows":[180],"construction":[182],"global":[184],"models.":[191],"effectiveness":[193],"these":[195],"quantitative":[196],"has":[198],"lessened":[200],"during":[201],"1992-2003":[203],"period.":[204],"TOPICS:Security":[205],"analysis":[206,211],"valuation,":[208],"fundamental":[209]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
