Using a threefactor model, we find that momentum in Japan is actually a success The threefactor model intercepts are significantly positive, and comparable to other countries—meaning net of value, size, and market exposure—momentum strategies in Japan have added considerable return over this periodThe paper is titled, "Momentum in Japan The Exception That Proves the Rule" The paper examines the data from Japanese equities, which some researchers interpret as suggesting that momentum investing doesn't work For example, Eugene Fama recently mentioned that the Japanese data suggest that momentum might be an artifact of dataminingThe supposed failure of Japanese momentum is not at all statistically significant, and there is a considerable chance that it is just random noise The author concludes that the portfolio of a Japanese investor with access to the value strategy would have performed much better if it had included momentum
Momentum Agreed Japan Is Pretty Awesome Although Better Than The Momentumgoat We Might Have To Put That To A Vote Or
