Japanese equities factor geek: Volatility of AI-related stocks leads to increased focus on margin balance data

研报英文原文证据摘录

Japanese equities factor geek: Volatility of AI-related stocks leads to increased focus on margin balance data

Global Markets Research

Japanese equities factor geek 27 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

Volatility of AI-related stocks leads to increased Research Analysts

focus on margin balance data Japan quantitative research

Shin Nishioka - NSC

Margin ratio factor performance shows no sign of margin call-related shin.nishioka@nomura.com

activity that some people had been expecting +81 3 6703 3948

Makoto Furukawa - NSC

Momentum factor performance increasingly influenced by bank stocks / margin makoto.furukawa@nomura.com

balance factor returns positive +81 3 6703 1174

We start by looking at factor performance for large caps over the week of 21–24 July (

Shunta Tachinaka, CFA - NSC

Figure 1 ). Categories where the majority of factors saw a positive return were market shunta.tachinaka@nomura.com

fluctuation, corporate action, supply-demand, growth, and analyst consensus. The five +81 3 6703 1212

factors that performed the best were historical 12M return, Barra beta, time series

normalized forecast ROE, historical beta, and margin ratio. Meanwhile, the majority of

factors in the quality category saw a negative return. The bottom five factors in terms of

performance were accruals, time series normalized forecast E/P, D/E ratio, change in

market trading value share, and forecast FCF/P.

The strong performance of the share price momentum factor based on historical 12-month

returns was due in large part to the strong performance of bank stocks over the course of

the week as a whole. We note that this factor is now more sensitive to bank stocks than it

was a month earlier. Over the past month, the factor's sector exposure increased from