Momentum in Japan: The Exception that Provesthe Rule
研究了日本市场动量策略的失败，发现其与价值策略的负相关关系，并论证动量策略在全球范围内有效，日本结果只是统计噪声范围内的例外。
Momentum strategies deliver positive profits in a variety of markets and asset classes with one glaring exception—Japan. The failure of momentum in Japan has led some to call into question momentum’s viability, suggesting that perhaps momentum’s success elsewhere may be the result of data mining. Asness rejects that interpretation. He argues that because value and momentum strategies are strongly negatively correlated, they need to be studied as a system. He shows that the results in Japan are perfectly consistent with value and momentum working everywhere at similar levels and are entirely within the range of statistical noise. Viewed as a system, he shows that momentum strategies are actually a success in Japan. In sum, Asness finds that the Japanese momentum results are supportive, not contrary, to the idea that momentum is a strong ex ante efficacious strategy around the world. Put differently, the Japanese momentum results are the exception that proves the rule. <bold>TOPICS:</bold> <ext-link>Financial crises and financial market history</ext-link>, <ext-link>factor-based models</ext-link>, <ext-link>emerging</ext-link>