Japan equity quant memo

Research evidence excerpt

Japan equity quant memo

Global Markets Research

28 July 2026Japan equity quant memo

EQUITY: EQUITY QUANTITATIVE RESEARCH

Stocks with high margin buying ratios have Research Analysts

underperformed for a month Japan quantitative research Makoto Furukawa - NSC

Stocks with already-elevated and still-rising margin buying balances have makoto.furukawa@nomura.com

fallen particularly sharply +81 3 6703 1174

Shin Nishioka - NSC

Margin buying ratios are correcting from elevated levels; last November the shin.nishioka@nomura.com

correction lasted around six weeks +81 3 6703 3948

The historical 12-month share price momentum factor for Japanese equities peaked on 22 Shunta Tachinaka, CFA - NSC

June and has since fallen sharply, with subsequent developments attracting considerable shunta.tachinaka@nomura.com

attention. In the course of this adjustment of share price momentum, there has also been +81 3 6703 1212

much discussion of aspects of supply-demand, such as the situation with respect to

margin trading.

Margin buying ratio factor returns (Figure1) have been falling since mid-June. This is

consistent with the comment we made in our 5 June 2026 report Japanequityquant

memo-Concentratedstockselectioncausesfactorstomoveinsamedirectiontoo that

many factors have exhibited similar behavior, particularly since April. However, as Figure

2 shows, while the performance of stocks with high margin buying ratios has deteriorated

during this period, stocks with low margin buying ratios have been flat. Rather than being

due to weakness in the market as a whole, this might reflect a correction of overheating

and a deterioration in supply-demand for stocks with high margin buying ratios in

particular. Moreover, the long-term trend for this factor has been strongly positive since