Earticle

초록

영어

In this study, we investigate momentum strategies in Japan's stock market, which has historically diverged from global trends in effectiveness. We analyze the performance of three momentum factors—WML, MOM_6, and MOM_12, each differing in weighting, formation, and holding periods. Our findings reveal that while theWML factor with value-weighted portfolios shows positive average returns, their statistical significance is weak. In contrast, MOM factors constructed using equal-weighted portfolios yield negative returns. By examining momentum strategy returns across four market dynamics—BEARDOWN, BEARUP, BULLDOWN, and BULLUP—we find that momentum strategies produce positive returns during BEARDOWN market trends. However, mixed results are observed in BULLUP market between WML factor and MOM factors, and momentum strategies tend to underperform during market reversals, such as BEARUP and BULLDOWN. Given these findings, we applied the framework of Daniel and Moskowitz (2016) to assess whether the poor momentum returns in Japan can be attributed to momentum crashes. Although higher volatility and higher market beta for Loserportfolios are observed in BEAR markets, results suggest that significant momentum crashes do not necessarily coincide with the most volatile months or with the highest market beta for Loser portfolios, challenging the explanation by Daniel and Moskowitz (2016). Our findings indicate that Japan's distinctive market dynamics are key to understanding the underperformance of momentum strategies. While previous studies have emphasized socio-cultural factors, such as Japan's collectivist society, it is crucial to recognize the recent shifts towards individualism and corporate governance reforms. These changes suggest that traditional explanations for momentum strategy failures may not fully apply in Japan, where unique market conditions and an evolving socio-cultural landscape play a more critical role.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Literature Review
1. Investor Behavior and Momentum Strategy
2. Market Dynamics and Momentum Strategy
3. Momentum Crashes
Ⅲ. Data Construction and Basic Evidence
1. Data Collection and Sources
2. Momentum Factor (MOM) Calculation
3. Winner Minus Loser (WML) Factor
4. Basic Evidence
Ⅳ. Empirical Results
1. Performance of the Momentum Strategy
2. Market Dynamics
3. Market Dynamics for Longer Horizon
Ⅴ. Momentum Crashin Japanese Stock Market Context
1. Volatility Analysis
Ⅵ. Discussion
Ⅶ. Conclusion
1. Academic Contribution
2. Managerial Implication
3. Limitations and Future Research Directions
References
Appendix

키워드

저자

• Jiho Lee [ Ph.D. Candidate, Department of Economics, Hitotsubashi University, Tokyo, Japan ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330