Revisiting the residual momentum in Japan

被引：0
|
作者：
Iwanaga, Yasuhiro [1 ,2 ]
机构：
[1] Hakuoh Univ, 2-2-2 Ekihigashidori, Oyama City, Tochigi 3238586, Japan
[2] 2-2-2 Ekihigashidori, Oyama City, Tochigi 3238586, Japan
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2024年 / 93卷
基金：
日本学术振兴会;
关键词：
Residual momentum; Reversal effect; Japan; STOCK; RETURNS; RISK;
D O I：
10.1016/j.irfa.2024.103190
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 longterm 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.
引用
收藏
页数：11
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