A multifaceted review of momentum: Momentum crashes (4)

研报英文原文证据摘录

A multifaceted review of momentum: Momentum crashes (4)

Global Markets Research

Japanese equity quantitative strategy 22 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

A multifaceted review of momentum: Momentum Research Analysts

crashes (4) Japan quantitative research Shunta Tachinaka, CFA - NSC

Market edges up for around a year (about 20%) before the average crash, falls sharply for shunta.tachinaka@nomura.com

around three months (about 20%) after, then edges down for around a year (about 20%) +81 3 6703 1212

Makoto Furukawa - NSC

In this report, we analyze the size, duration, and speed of momentum crashes makoto.furukawa@nomura.com

In our 3 April 2026 report Japaneseequityquantitativestrategy-Amultifacetedreviewof +81 3 6703 1174

momentum:Momentumcrashes(1), we pointed out that there are two types of Shin Nishioka - NSC

momentum crash, and gave a broad overview of the structure and phases of each of them shin.nishioka@nomura.com

(Figure1). In our 8 April 2026 report Japaneseequityquantitativestrategy-A +81 3 6703 3948

multifacetedreviewofmomentum:Momentumcrashes(2) and our 22 April 2026 report

Japaneseequityquantitativestrategy-Amultifacetedreviewofmomentum:Momentum

crashes(3), we noted the importance of risk management, including adjusting momentum

exposure in line with risk volumes, given the way that three types of distribution

indicators—standard deviation, skewness, and kurtosis—are prone to sharp fluctuations

prior to momentum crashes, and we went over two types of risk management methods. In

this report, we focus on periods after a momentum crash rather than periods beforehand,

and analyze historical trends in terms of the size, duration, and speed of momentum

crashes. In this study, we used a total of 13 momentum crash periods as our samples: