Japan equity quant memo: Value hits new highs as momentum declines

Research evidence excerpt

Japan equity quant memo: Value hits new highs as momentum declines

Global Markets Research

31 July 2026Japan equity quant memo

EQUITY: EQUITY QUANTITATIVE RESEARCH

Research Analysts

Value hits new highs as momentum declines Japan quantitative research

Makoto Furukawa - NSC

Switching between AI-related stocks and value continues as growth makoto.furukawa@nomura.com

stocks with low price momentum rebound sharply +81 3 6703 1174

Shin Nishioka - NSC

Value hit a new high after a 12-day winning streak; we are bullish on value if the shin.nishioka@nomura.com

BOJ continues with rate hikes and would view the next momentum rally as a buying +81 3 6703 3948

opportunity

Shunta Tachinaka, CFA - NSCIn our 21 April 2026 report titled Japanequityquantmemo:Valuestocksstagnateagain

shunta.tachinaka@nomura.comonsharpriseinNTratio, we noted that since June 2025, the Japanese stock market has

+81 3 6703 1212

alternated between gains in the Nikkei 225-to-TOPIX (NT) ratio and gains in the value

factor. As shown in Figure1, the NT ratio rose sharply starting in April 2026, while the

value factor weakened. However, since late June, the NT ratio has fallen sharply as price

momentum has weakened while the value factor has rebounded strongly, posting a 12-

day winning streak from 13 July to 29 July. While the NT ratio remains above its early

April level, the the value factor has managed to rise past its early April level to reach its

highest level since last year. Looking at cumulative excess returns of the expensive and

cheap sides of the B/P and forecast E/P factors (Figure2, Figure3), we find that, for the

B/P factor in particular, the cheap side has reached a new high since last year while the

expensive side has fallen to a new low since last year. In addition, even after the price