Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 19, 2023 erstellt
Beschreibung:
This study examines whether the residual momentum effect is actually at play in the Japanese stock market. The results confirm that the effects of residual momentum are not significant after adjusting for short-term and long-term reversal effects. We, therefore, establish that there is a problem with the method used to compute residual momentum in previous studies. By using the corrected method to calculate residual momentum, it is evident that the residual momentum effect is not significant