This paper examines effects of realized covariance matrix estimators based on high-frequency data on large-scale minimum-variance equity portfolio optimization. The main results are: (i) the realized covariance matrix estimators yield a lower standard deviation of large-scale portfolio returns...

This paper examines the relation between pre-trade transparency and market quality in the Tokyo Stock Exchange (TSE). Mixed evidence related to this relation has been reported worldwide. We analyze this relation using evidence from a change in the TSE disclosure policy in the 2000s. We find a...