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Individualism and momentum around the world

journal contribution
posted on 2024-09-20, 02:05 authored by ACW Chui, S Titman, KCJ Wei
ABSTRACTThis paper examines how cultural differences influence the returns of momentum strategies. Cross‐country cultural differences are measured with an individualism index developed by Hofstede (2001), which is related to overconfidence and self‐attribution bias. We find that individualism is positively associated with trading volume and volatility, as well as to the magnitude of momentum profits. Momentum profits are also positively related to analyst forecast dispersion, transaction costs, and the familiarity of the market to foreigners, and negatively related to firm size and volatility. However, the addition of these and other variables does not dampen the relation between individualism and momentum profits.

History

Journal

Journal of Finance

Volume

65

Pagination

361-392

ISSN

0022-1082

eISSN

1540-6261

Language

English

Publication classification

C1.1 Refereed article in a scholarly journal

Issue

1

Publisher

WILEY-BLACKWELL