Eureka! A Momentum Strategy that Also Works in Japan

32 Pages Posted: 9 Jan 2012 Last revised: 13 Jan 2012

Denis B. Chaves

The Vanguard Group, Inc.

Date Written: January 9, 2012

Abstract

This article explores an alternative definition of momentum that is calculated using the idiosyncratic returns from market regressions. By removing the return component due to market beta exposure, this new definition of momentum reduces the volatility of momentum strategies and generates sizeable four-factor alphas. These results hold in a sample of 21 countries, in addition to U.S. data. Most interestingly, the findings also hold in Japan, where previous studies have failed to find any significant power for traditional momentum strategies.

Keywords: Momentum

Suggested Citation

Chaves, Denis B., Eureka! A Momentum Strategy that Also Works in Japan (January 9, 2012). Available at SSRN: https://ssrn.com/abstract=1982100 or http://dx.doi.org/10.2139/ssrn.1982100

Denis Biangolino Chaves (Contact Author)

The Vanguard Group, Inc. ( email )

100 Vanguard Blvd
Malvern, PA 19355
United States

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