A multifaceted review of momentum: Momentum crashes (5)

Research evidence excerpt

A multifaceted review of momentum: Momentum crashes (5)

Global Markets Research

Japanese equity quantitative strategy 22 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

A multifaceted review of momentum: Momentum Research Analysts

crashes (5) Japan quantitative research Shunta Tachinaka, CFA - NSC

Crash broadly same as prior rise / targets for decline this time about 40% from reversal of AI semiconductor-related stocks and about shunta.tachinaka@nomura.com

20% from reversal in Japanese economy, for up to 60% +81 3 6703 1212

Makoto Furukawa - NSC

In this report, we look at the turning point in momentum crashes, estimation of the makoto.furukawa@nomura.com

extent of crashes, and the current outlook +81 3 6703 1174

In this report, we focus on periods after a momentum crash rather than periods Shin Nishioka - NSC

beforehand, and we take a look at the turning point in momentum crashes, estimate the shin.nishioka@nomura.com

extent of crashes, and take a look at the current outlook for the momentum factor. In this +81 3 6703 3948

study, we used a total of 13 momentum crash periods as our samples: eight periods when

the market peaked (Figure1, red lines) and five when it bottomed out (Figure1, blue

lines). For momentum in this report, we use 12-month momentum.

Turning point in momentum crashes: Market peaking crashes unlikely to be

followed by rebound / Bottom-out crashes tend to bottom out at around 18 months

after crash / Attributable to differences in performance between stock market and

economy

First, we look at momentum crash by market type (Figure2, Figure3, Figure4). In all

samples noted above, market peaking crashes and bottoming out crashes showed

broadly similar movements during the period from around one year before the crash to

around one year after the crash.