The Securities Analysts Journal Prize for FY2025 was awarded to the two articles at the 41st Annual Conference of the Securities Analysts Association of Japan (SAAJ), held in Tokyo in October 2026. This prestigious award recognizes the outstanding academic and practical contributions of articles published in the Securities Analysts Journal, a monthly publication by SAAJ.
This time, two articles were selected from among 60 papers published between April 2025 and March 2026. The selection process involved a rigorous three-stage review by the Journal’s Editing Committee, focusing on originality, logical development, and practical relevance.
Award-Winning Articles
Revising Equity Factor Investing
by Sho Nishiuchi, CMA, CIIA (Published in April 2025)
This paper examines why factor investing has not gained traction among asset owners in Japan by analyzing the performance of equity factor strategies. The results suggest that inadequate assessment of transaction costs, changes over time in the magnitude and time-series properties of factor premiums, and evaluation methods that place undue emphasis on short-term investment performance may help explain the gap between investors’ expectations for factor investing and the realized investment performance.
To read this article, click here.
This study examines the usefulness of machine learning for predicting the sign of earnings changes for Japanese listed firms. The results show that machine-learning predictions achieve overall accuracy comparable to management earnings forecasts, while high-confidence predictions are more accurate. Hedge portfolios constructed from the machine-learning predictions generate statistically significant abnormal returns. Variable-importance analyses indicate that management forecast information is the primary driver of the predictions, while financial-statement information provides complementary predictive content. The article comprises the main text and an online appendix; footnotes in the main text identify material discussed in greater detail in the appendix.
To read this article, click here.
These award-winning papers were recognized for their timely themes, clear analysis, and relevance to both academic and professional audiences.
For more information, please visit the SAAJ Journal Prize page.