Decomposing the Momentum in the Japanese Stock Market

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2023-06-20 DOI:10.1007/s10690-023-09413-y

Yasuhiro Iwanaga, Takehide Hirose, Tomohiro Yoshida

引用次数: 0

Abstract

In this study, we decompose momentum indicators for the Japanese stock market into two components, high-to-price and price-to-high. High-to-price has a lower downside risk and higher Sharpe ratio than price-to-high. We find that a conventional momentum strategy combines the characteristics of high-to-price in a bull market and those of price-to-high in a bear market. In particular, the large drawdowns of momentum strategies reported in previous studies seem to be largely owed to those of price-to-high in bear markets. It is possible that the mechanism generating factor returns differs among the three strategies.

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分解日本股市的动量

在本研究中，我们将日本股市的动量指标分解为两个部分，即高价对高价和价格对高价。与价高比相比，价高比的下行风险更低，夏普比率更高。我们发现，传统的动量策略结合了牛市中价格对价格的高点和熊市中价格对高点的特点。特别是，以往研究中报告的动量策略的大幅缩水似乎在很大程度上归因于熊市中的价比高策略。三种策略产生因子收益的机制可能有所不同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets