Download this Paper Open PDF in Browser

Is Japan Different? Evidence on Momentum and Market Dynamics

25 Pages Posted: 26 Oct 2013 Last revised: 7 Dec 2013

Matthias X. Hanauer

Robeco Asset Management - Quantitative Strategies; Technische Universität München (TUM)

Multiple version iconThere are 2 versions of this paper

Date Written: December 5, 2013

Abstract

Recent evidence for the U.S. indicates that momentum profits are conditional on market dynamics. This paper documents that the following finding holds for the Japanese market as well: momentum returns are significantly higher when the market stays in the same condition than when it transitions to the other state. This evidence is consistent with the behavioral model of Daniel et al. (1998). Furthermore, market transitions occurred more frequently in Japan compared to the U.S. These results explain why average momentum returns have historically been low in Japan, a fact generally referred to as an empirical failure of momentum. Overall, my findings indicate that different market dynamics, and not different momentum, cause the overall low momentum returns in Japan.

Keywords: Japan, Momentum, Momentum Crashes, Behavioral Finance, Market Dynamics

JEL Classification: G11, G12, G15

Suggested Citation

Hanauer, Matthias X., Is Japan Different? Evidence on Momentum and Market Dynamics (December 5, 2013). Available at SSRN: https://ssrn.com/abstract=2345203 or http://dx.doi.org/10.2139/ssrn.2345203

Matthias Xaver Hanauer (Contact Author)

Robeco Asset Management - Quantitative Strategies ( email )

Coolsingel 120
Rotterdam, 3011 AG
Netherlands

HOME PAGE: http://www.robeco.com/en/about-us/quantitative-research-team.jsp

Technische Universität München (TUM) ( email )

Arcisstr. 21
Munich, D-80290
Germany

HOME PAGE: http://www.fm.wi.tum.de/?id=31

Paper statistics

Downloads
436
Rank
54,391
Abstract Views
1,494