EconPapers    
Economics at your fingertips  
 

Residual momentum in Japan

Rosita P. Chang, Kuan-Cheng Ko, Shinji Nakano and S. Ghon Rhee

Journal of Empirical Finance, 2018, vol. 45, issue C, 283-299

Abstract: We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama–French (1993) factors, is profitable in Japan for short-term holding periods ranging from three to 12 months. Residual momentum profits over long-term holding periods ranging from two to five years do not reverse, unlike traditional price momentum strategies observed in the U.S. market. The findings in both short- and long-term holding periods are attributed to investor underreaction. A comprehensive index of limited attention supports investor underreaction as an underlying cause of momentum in Japan.

Keywords: Residual momentum strategies; Total return momentum strategies; Japanese market; Investor underreaction; Information discreteness; Limited attention (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539817301093
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:45:y:2018:i:c:p:283-299

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-12-08
Handle: RePEc:eee:empfin:v:45:y:2018:i:c:p:283-299