Japan equity quant memo

Research evidence excerpt

Japan equity quant memo

Global Markets Research

18 August 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

Renewed rise in stocks with ultra-high momentum

likely to be fast

Research Analysts

Cumulative excess returns on top 5% of stocks in terms of momentum fell

47.9% from high but then rose 27.4%

Conditions for new highs falling into place, but it will take time for risk-related items

such as volatility and correlations to run their course

In our 31 July 2026 report Japan equity quant memo - Value hits new highs as

momentum declines , we said that the series of reversals had more or less run their

course. Furthermore, in our 6 August 2026 report Japan equity quant memo - Share price

momentum factor up around 18ppt from bottom , we noted that the distortions in share

price returns seen since April had been corrected. We then indicated that we expect a

shift to a phase of trend-following behavior for stocks with favorable results, as has been

the case following the historical average for Q1 results announcements. We said that

under such conditions, high-momentum stocks with strong earnings advantages tend to

outperform.

Japan quantitative research

Makoto Furukawa - NSC

Shin Nishioka - NSC

Shunta Tachinaka, CFA - NSC

Cumulative excess returns on some ultra-high share price momentum stocks, such as the

top 5% of momentum stocks in terms of 12-month share price momentum, have risen

27.4% over the 12 trading days since bottoming on 29 July (as of 17 August; Figure 1 ).

While many observers expect share prices to rebound for stocks with strong earnings, the

question is how quickly that will happen. We think stocks with ultra-high share price

momentum could see a rapid rebound. Below, we consider the appropriateness of this

view by checking the most recent status of various parameters concerning a series of

concentrations of investor preferences and the impact of their subsequent fallback.

Fig. 1: Cumulative excess return on top 20%, 10%, and 5% of stocks in terms of 12month share price momentum

Note: Universe is TOPIX 500 constituents. Data for 2025 onwards.

Source: Nomura, based on QUICK, Bloomberg, and IFIS data