Japan equity quant memo

Research evidence excerpt

Japan equity quant memo

Global Markets Research

23 June 2026Japan equity quant memo

EQUITY: EQUITY QUANTITATIVE RESEARCH

Widening divide between AI stocks and Research Analysts

everything else Japan quantitative research Makoto Furukawa - NSC

Ongoing sell-off of non-AI stocks with high nonresident and investment trust ownership makoto.furukawa@nomura.com

ratios, possible temporary reversals during rebalancing at half-year-end and quarter-end +81 3 6703 1174

Shin Nishioka - NSC

Possibility of reverse window dressing ahead of half-year-end and quarter-end shin.nishioka@nomura.com

In our 3 June 2026 report Japanequityquantmemo-Marketdevelopmentscan +81 3 6703 3948

increasinglybesortedintoAI-relatedandeverythingelse), we noted a change in the Shunta Tachinaka, CFA - NSC

differentiation between winners and losers among AI-related stocks, which had become shunta.tachinaka@nomura.com

evident since the start of the year, in that the market is now increasingly bifurcated +81 3 6703 1212

between AI-related stocks and everything else.

Figure1 and Figure2 show excess returns of portfolios sorted in two stages by 12-month

stock price momentum for stocks with high nonresident ownership ratios and with

investment trust ownership ratios. First, as Figure3 shows, the nonresident ownership

and investment trust ownership ratio factors have seen sharp declines at times but have

been performing well since April. Despite this, stocks with high ownership ratios and low

share price momentum have been on a downward trajectory since mid-June. Given the

sharp rise in returns for stocks with high ownership ratios and high share price momentum

over the same period, we think the disposal of underperforming stocks with high

ownership ratios may have accelerated.