Japanese equities factor geek

Research evidence excerpt

Japanese equities factor geek

Global Markets Research

Japanese equities factor geek 22 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

Previous-day momentum, previous-week Research Analysts

momentum Japan quantitative research

Shunta Tachinaka, CFA - NSC

Due to the substantial uncertainty now, we will use ultra-short-term shunta.tachinaka@nomura.com

momentum as reference for gauging stock selection +81 3 6703 1212

Makoto Furukawa - NSC

Market still searching for bottom while repeatedly buying on weakness makoto.furukawa@nomura.com

AI semiconductor-related stocks have fallen sharply since late June, and one-year +81 3 6703 1174

momentum (the standard for momentum) has fallen sharply, too. The decline over 23 Shin Nishioka - NSC

Jun–17 Jul was around 25% (Figure 1 ). The market is interested in the extent and shin.nishioka@nomura.com

duration of the declines in momentum and AI semiconductor-related stocks, and given +81 3 6703 3948

that since late June, share price indices, individual stock indices, and factors have been

declining overall while repeatedly alternating between rises and falls every two or three

business days, it appears that the market is currently searching for lows while regularly

buying on weakness (Figure 1 ). That said, since late June, prices have fluctuated

substantially on a single day basis, seesawing every two or three trading days, and given

that there is a downward trend overall, and it is unknown when it could bottom out, it is

difficult to gauge the extent and duration of the decline (Figure 1 ).

Signs that one-day momentum and one-week momentum are bottoming out

In a market with a high degree of uncertainty, it is difficult to predict the direction of

medium-term momentum such as one-year momentum. Under these circumstances, we