Revisiting the residual momentum in Japan

Yasuhiro Iwanaga

International Review of Financial Analysis, 2024, vol. 93, issue C

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.

Keywords: Residual momentum; Reversal effect; Japan (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001224

DOI: 10.1016/j.irfa.2024.103190

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