Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/20631
Title: Individualism and momentum around the world
Authors: Chui, ACW 
Titman, S
Wei, KCJ
Issue Date: 2010
Publisher: Wiley-Blackwell Publishing, Inc
Source: Journal of finance, 2010, v. 65, no. 1, p. 361-392 How to cite?
Journal: Journal of Finance 
Abstract: 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.
URI: http://hdl.handle.net/10397/20631
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2009.01532.x
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