Eureka! A Momentum Strategy that Also Works in Japan

32 Pages Posted: 9 Jan 2012 Last revised: 13 Jan 2012

Date Written: January 9, 2012


This article explores an alternative definition of momentum that is calculated using the idiosyncratic returns from market regressions. By removing the return component due to market beta exposure, this new definition of momentum reduces the volatility of momentum strategies and generates sizeable four-factor alphas. These results hold in a sample of 21 countries, in addition to U.S. data. Most interestingly, the findings also hold in Japan, where previous studies have failed to find any significant power for traditional momentum strategies.

Keywords: Momentum

Suggested Citation

Chaves, Denis Biangolino, Eureka! A Momentum Strategy that Also Works in Japan (January 9, 2012). Available at SSRN: or

Denis Biangolino Chaves (Contact Author)

The Capital Group Companies ( email )

333 S. Hope Street, 53rd Floor
Los Angeles, CA 90071
United States

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