Maxing Out Globally: Individualism, Investor Attention, and the Cross Section of Expected Stock Returns

References

• Aggarwal R, Goodell J (2009) Markets and institutions in financial intermediation: National characteristics as determinants. J. Banking Finance 33(10):1770–1780.Crossref, Google Scholar
• Ahern KR, Daminelli D, Fracassi C (2015) Lost in translation? The effect of cultural values on mergers around the world. J. Financial Econom. 117(1):165–189.Crossref, Google Scholar
• Anderson CW, Fedenia M, Hirschey M, Skiba H (2011) Cultural influences on home bias and international diversification by institutional investors. J. Banking Finance 35(4):916–934.Crossref, Google Scholar
• Ang A, Hodrick J, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
• Ang A, Hodrick J, Xing Y, Zhang X (2009) High idiosyncratic volatility and low returns: International and further U.S. evidence. J. Financial Econom. 91(1):1–23.Crossref, Google Scholar
• Annaert J, De Ceuster M, Vestegen K (2013) Are extreme returns priced in the stock market? European evidence. J. Banking Finance 37(9):3401–3411.Crossref, Google Scholar
• Antonczyk RC, Salzmann AJ (2014) Overconfidence and optimism: The effect of national culture on capital structure. Res. Internat. Bus. Finance 31(May):132–151.Crossref, Google Scholar
• Arouri M, Boubaker S, Nguyen DK (2014) Emerging Markets and the Global Economy: A Handbook (Academic Press, Oxford, UK).Google Scholar
• Baker M, Wurgler J (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
• Bali TG, Cakici N (2008) Idiosyncratic volatility and the cross section of expected returns. J. Financial Quant. Anal. 43(1):29–58.Crossref, Google Scholar
• Bali T, Cakici N, Whitelaw R (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.Crossref, Google Scholar
• Bali TG, Brown SJ, Murray S, Tang Y (2017) A lottery demand-based explanation of the beta anomaly. J. Financial Quant. Anal. 52(6):2369–2397.Crossref, Google Scholar
• Barber BM, Odean T (2001) Boys will be boys: Gender, overconfidence, and common stock investment. Quart. J. Econom. 116(1):261–292.Crossref, Google Scholar
• Barber BM, Odean T (2008) All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2):785–818.Crossref, Google Scholar
• Barberis N, Huang M (2008) Stocks as lotteries: The implications of probability weighting for security prices. Amer. Econom. Rev. 98(5):2066–2100.Crossref, Google Scholar
• Bekaert G, Harvey CR, Lundblad C (2007) Liquidity and expected returns: Lessons from emerging markets. Rev. Financial Stud. 20(5):1783–1831.Crossref, Google Scholar
• Brunnermeier MK, Gollier C, Parker JA (2007) Optimal beliefs, asset prices, and the preference for skewed returns. Amer. Econom. Rev. 97(2):159–165.Crossref, Google Scholar
• Camerer C, Lovallo D (1999) Overconfidence and excess entry: An experimental approach. Amer. Econom. Rev. 89(1):306–318.Crossref, Google Scholar
• Campbell JY, Hentschel L (1992) No news is good news: An asymmetric model of changing volatility in stock returns. J. Financial Econom. 31(3):281–318.Crossref, Google Scholar
• Carpenter JN, Lu F, Whitelaw RF (2017) The real value of China’s stock market. Working paper, New York University, New York.Google Scholar
• Chan K, Covrig V, Ng L (2005) What determines the domestic bias and foreign bias? Evidence from mutual fund equity allocations worldwide. J. Finance 60(3):1495–1534.Crossref, Google Scholar
• Chui A, Titman S, Wei KCJ (2010) Individualism and momentum around the world. J. Finance 65(1):361–392.Crossref, Google Scholar
• Daniel K, Hirshleifer D, Subrahmanyam A (1998) Investor psychology and security market under- and overreactions. J. Finance 53(6):1839–1885.Crossref, Google Scholar
• Daniel KD, Hirshleifer D, Subrahmanyam A (2001) Overconfidence, arbitrage, and equilibrium asset pricing. J. Finance 56(3):921–965.Crossref, Google Scholar
• Du J, Wei SJ (2004) Does insider trading raise market volatility?. Econom. J. 114(498):916–942.Google Scholar
• Edwards J (2015) Goldman Sachs says this chart looks like this only when there’s about to be a recession. Business Insider (August 31), http://uk.businessinsider.com/goldman-sachs-vix-chart-recession-2015-8.Google Scholar
• Eleswarapu V, Venkataraman K (2006) The impact of legal and political institutions on equity trading costs: A cross-country analysis. Rev. Financial Stud. 19(3):1081–1111.Crossref, Google Scholar
• Eraker B, Ready M (2015) Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks. J. Financial Econom. 115(3):486–504.Crossref, Google Scholar
• Eun CS, Wang L, Xiao SC (2015) Culture and R2. J. Financial Econom. 115(2):283–303.Crossref, Google Scholar
• Fama EF, MacBeth JD (1973) Risk, return, and equilbrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
• Ferris SP, Jayaraman N, Sabherwal S (2013) CEO overconfidence and international merger and acquisition activity. J. Financial Quant. Anal. 48(1):137–164.Crossref, Google Scholar
• Fong WM, Toh B (2014) Investor sentiment and the MAX effect. J. Banking Finance 46(September):190–201.Crossref, Google Scholar
• French KR, Schwert GW, Stambaugh RF (1987) Expected stock returns and volatility. J. Financial Econom. 19(1):3–29.Crossref, Google Scholar
• Fu F (2009) Idiosyncratic risk and the cross-section of expected stock returns. J. Financial Econom. 91(1):24–37.Crossref, Google Scholar
• Gervais S, Odean T (2001) Learning to be overconfident. Rev. Financial Stud. 14(1):1–27.Crossref, Google Scholar
• Goetzmann W, Kumar A (2008) Equity portfolio diversification. Rev. Finance 12(3):433–463.Crossref, Google Scholar
• Graham JR, Harvey CR, Huang H (2009) Investor competence, trading frequency, and home bias. Management Sci. 55(7):1094–1106.Link, Google Scholar
• Graham J, Harvey C, Puri M (2013) Managerial attitudes and corporate actions. J. Financial Econom. 109(1):103–121.Crossref, Google Scholar
• Guiso L, Sapienza P, Zingales L (2008) Trusting the stock market. J. Finance 63(6):2557–2600.Crossref, Google Scholar
• Guiso L, Sapienza P, Zingales L (2009) Cultural biases in economic exchange? Quart. J. Econom. 124(3):1095–1131.Crossref, Google Scholar
• Han Y, Lesmond D (2011) Liquidity biases and the pricing of cross-sectional idiosyncratic volatility. Rev. Financial Stud. 24(5):1590–1629.Crossref, Google Scholar
• Heine SJ, Lehman DR (1995) Cultural variation in unrealistic optimisim: Does the West feel more vulnerable than the East? J. Personality Soc. Psych. 68(4):595–607.Crossref, Google Scholar
• Heine SJ, Lehman DR, Markus HR, Kitayama S (1999) Is there a universal need for positive self-regard? Psych. Rev. 106(4):766–794.Crossref, Google Scholar
• Hillert A, Jacobs H, Müller S (2014) Media makes momentum. Rev. Financial Stud. 27(12):3467–3501.Crossref, Google Scholar
• Hofstede G (2001) Culture’s Consequences: Comparing Values, Behaviors, Institutions, and Organization Across Nations, 2nd ed. (Sage Publications, Beverly Hills, CA).Google Scholar
• Hofstede G (2006) What did GLOBE really measure? Researchers’ minds versus respondents’ minds. J. Internat. Bus. Stud. 37(6):882–896.Crossref, Google Scholar
• Hofstede G (2010) The GLOBE debate: Back to relevance. J. Internat. Bus. Stud. 41(8):1339–1346.Crossref, Google Scholar
• Hofstede G, Hofstede GJ, Minkov M (2010) Cultures and Organizations: Software of the Mind (McGraw-Hill, New York).Google Scholar
• House RJ, Hanges PJ (2004) Research design. House RJ, Hanges PJ, Javidan M, Dorfman PW, Gupta V, eds. Culture, Leadership and Organisation: The GLOBE Study of 62 Societies (Sage Publications, Thousand Oaks, CA), 95–101.Google Scholar
• Hsee CK, Weber EU (1999) Cross-national differences in risk preference and lay predictions. J. Behav. Decision Making 12(2):165–179.Crossref, Google Scholar
• Huang W, Liu Q, Rhee SG, Zhang L (2010) Return reversals, idiosyncratic risk, and expected returns. Rev. Financial Stud. 23(1):147–168.Crossref, Google Scholar
• Ince OS, Porter RB (2006) Individual equity return data from Thomson Datastream: Handle with care! J. Financial Res. 29(4):463–479.Crossref, Google Scholar
• John K, Liu YL, Taffler R (2010) It takes two to tango: Overpayment and value destruction in M&A deals. Working paper, New York University, New York.Google Scholar
• Kanagaretnam K, Lim C, Lobo G (2011) Effects of national culture on earnings quality of banks. J. Internat. Bus. Stud. 42(6):853–874.Crossref, Google Scholar
• Karolyi GA (2016) The gravity of culture for finance. J. Corporate Finance 41(December):610–625.Crossref, Google Scholar
• Karolyi GA, Lee K-H, van Dijk MA (2012) Understanding commonality in liquidity around the world. J. Financial Econom. 105(1):82–112.Crossref, Google Scholar
• Kaufmann D (2004) Corruption, governance and security: Challenges for rich countries around the world. Working paper, National Resource Governance Institute, New York.Google Scholar
• Kim S-H, Lee K-H (2014) Pricing of liquidity risks: Evidence from multiple liquidity measures. J. Empirical Finance 25:112–133.Crossref, Google Scholar
• Kumar A (2009) Who gambles in the stock market? J. Finance 64(4):1889–1933.Crossref, Google Scholar
• Kumar A, Page JK, Spalt OG (2011) Religious beliefs, gambling attitudes, and financial market outcomes. J. Financial Econom. 102(3):671–708.Crossref, Google Scholar
• La Porta R, Lopez-de-Silanes F, Shleifer A, Vishny RW (1998) Law and finance. J. Political Econom. 106(6):1113–1155.Crossref, Google Scholar
• Lee K-H (2011) The world price of liquidity risk. J. Financial Econom. 99(1):136–161.Crossref, Google Scholar
• Lee JW, Yates JF, Shinotsuka H, Singh R, Onglatco MLU, Yen NS, Gupta M, Bhatnagar D (1995) Cross-national differences in overconfidence. Asian J. Psych. 1:63–69.Google Scholar
• Lesmond DA (2005) Liquidity of emerging markets. J. Financial Econom. 77(2):411–452.Crossref, Google Scholar
• Lesmond DA, Ogden JP, Trzcinka CA (1999) A new estimate of transaction costs. Rev. Financial Stud. 12(5):1113–1141.Crossref, Google Scholar
• Malmendier U, Tate G (2005) CEO overconfidence and corporate investment. J. Finance 60(6):2661–2700.Crossref, Google Scholar
• Malmendier U, Tate G (2008) Who makes acquisitions? CEO overconfidence and the market’s reaction. J. Financial Econom. 89(1):20–43.Crossref, Google Scholar
• Markus HR, Kitayama S (1991) Culture and the self: Implications for cognition, emotion, and motivation. Psych. Rev. 98(2):224–253.Crossref, Google Scholar
• Newey W, West K (1987) A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
• Odean T (1998) Volume, volatility, price, and profit when all traders are above average. J. Finance 53(6):1887–1934.Crossref, Google Scholar
• Odean T (1999) Do investors trade too much? Amer. Econom. Rev. 89(5):1279–1298.Crossref, Google Scholar
• Petersen MA (2009) Estimating standard errors in finance panel datasets: Comparing approaches. Rev. Financial Stud. 22(1):435–480.Crossref, Google Scholar
• Scheinkman JA, Xiong W (2003) Overconfidence and speculative bubbles. J. Political Econom. 111(6):1183–1219.Crossref, Google Scholar
• Siegel JI, Licht AN, Schwartz SH (2011) Egalitarianism and international investment. J. Financial Econom. 102(3):621–642.Crossref, Google Scholar
• Stulz R, Williamson R (2003) Culture, openness, and finance. J. Financial Econom. 70(3):313–349.Crossref, Google Scholar
• Tversky A, Kahneman D (1992) Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertainty 5(4):297–323.Crossref, Google Scholar
• Van den Steen E (2004) Rational overoptimism (and other biases). Amer. Econom. Rev. 94(4):1141–1151.Crossref, Google Scholar
• Walkshäusl C (2014) The MAX effect: European evidence. J. Banking Finance 42(May):1–10.Crossref, Google Scholar
• Weber EU, Hsee C (1998) Cross-cultural differences in risk perception, but cross-cultural similarities in attitudes towards perceived risk. Management Sci. 44(9):1205–1217.Link, Google Scholar
• Weber EU, Milliman RA (1997) Perceived risk attitudes: Relating risk perception to risky choice. Management Sci. 43(2):123–144.Link, Google Scholar
• Wright GN, Phillips LD, Whalley PC, Choo GT, Ng K-O, Tan I, Wisudha A (1978) Cultural differences in probabilistic thinking. J. Cross-Cultural Psych. 9(3):285–299.Crossref, Google Scholar
• Yates JF, Lee JW, Shinotsuka H (1996) Organizational Behav. Human Decision Processes 65(2):138–147.Crossref, Google Scholar
• Zhong A, Gray P (2016) The MAX effect: An exploration of risk and mispricing explanations. J. Banking Finance 65(April):76–90.Crossref, Google Scholar
• Zingales L (2015) The “cultural revolution” in finance. J. Financial Econom. 117(1):1–4.Crossref, Google Scholar