Individualism and Momentum around the World

• 成果类型: Article
• 署名作者: Chui, Andy C. W.; Titman, Sheridan; Wei, K. C. John
• 署名单位: Hong Kong Polytechnic University; University of Texas System; University of Texas Austin; National Bureau of Economic Research; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01532.x
• 发表日期: 2010
• 页码: 361-392
• 关键词: TRADING VOLUME; MARKET VOLATILITY; Expected returns; Emerging markets; business-cycle; overconfidence; culture; self; strategies; GROWTH

摘要

This 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.