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Revisiting the residual momentum in Japan

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  • Iwanaga, Yasuhiro

Abstract

This study examines whether the residual momentum effect is actually at play in the Japanese stock market. The results confirm that the effects of residual momentum are not significant after adjusting for short-term and long-term reversal effects. We, therefore, establish that there is a problem with the method used to compute residual momentum in previous studies. By using the corrected method to calculate residual momentum, it is evident that the residual momentum effect is not significant.

Suggested Citation

  • Iwanaga, Yasuhiro, 2024. "Revisiting the residual momentum in Japan," International Review of Financial Analysis, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001224
    DOI: 10.1016/j.irfa.2024.103190
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    References listed on IDEAS

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    More about this item

    Keywords

    Residual momentum; Reversal effect; Japan;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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