Once an Outlier, Still an Outlier?

Japan’s financial market is very interesting. It is widely documented that, while cross-sectional momentum exists in many countries, it does not exist in Japan. Recently, time series momentum has been dubbed, yet there is little research on its performance in Japan. I conduct the first examination of the phenomenon in Japan for a period that had not been studied before: 1920 to 1984. The results show that time series momentum is significantly profitable and demonstrates an interesting pattern: January profits are positive and larger than non-January ones.

JEL classification: G11, G12, G14