Japan equity quant memo

Research evidence excerpt

Japan equity quant memo

Global Markets Research

21 July 2026Japan equity quant memo

EQUITY: EQUITY QUANTITATIVE RESEARCH

Research Analysts

What do solid accruals mean? Japan quantitative research

Makoto Furukawa - NSC

Marked move out of low-quality stocks by nonresidents may reflect focus makoto.furukawa@nomura.com

on prospects even further in the future +81 3 6703 1174

Shin Nishioka - NSC

Some quality factors at marked odds with overall market, where many factor shin.nishioka@nomura.com

returns have been performing similarly +81 3 6703 3948

In our 29 June 2026 report Japanequityquantmemo-Notablepreferencefor"safe" Shunta Tachinaka, CFA - NSC

momentumandgrowth, we stated that quality-related indicators had turned upwards amid shunta.tachinaka@nomura.com

an overconcentrated market led by AI-related stocks. In other words, we thought that +81 3 6703 1212

investors were showing a preference for stocks viewed as relatively high quality in a

momentum-driven market, and we thought it was important to note that investors may

have been focusing on the earning power and financial health of AI-related companies.

However, as noted in our 5 June 2026 report Japanequityquantmemo-Concentrated

stockselectioncausesfactorstomoveinsamedirectiontoo, we noted that many factors,

including 12-month share price momentum, were moving in similar directions in the recent

overconcentrated market. Figure2 shows the average pairwise correlation of the 20-day

rolling factor returns for the five factors shown in the exhibit notes (that is, the average

correlation coefficient of factor returns when creating arbitrary pairs from the five factors).

This shows a pairwise correlation coefficient of over 0.9 at present, which suggests that