Abstract

http://ssrn.com/abstract=1717224
 
 

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Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets


Yiwen (Paul) Dou


Macquarie University

James E. Hunton


Bentley University - Department of Accountancy; Erasmus University

Cameron Truong


Monash University; Financial Research Network (FIRN)

Madhu Veeraraghavan


T.A. PAI Management Institute, Finance Area

November 29, 2010

Finance and Corporate Governance Conference 2011 Paper

Abstract:     
The literature shows that price and earnings momentum returns cannot be fully explained by risk-based theories. In an attempt to better understand the price momentum anomaly, Chui et al. [2010] document that the cultural factor of "individualism" influences price momentum returns, but that the cultural factor of "uncertainty avoidance" does not. The current study extends Chui et al. [2010] by examining the influence of individualism and uncertainty avoidance on earnings momentum profits, as theory suggests that unique characteristics associated with earnings momentum, relative to price momentum, give rise to significant effects for both these cultural factors. Using data from 41 countries, we show that the level of individualism in a country is positively associated with earnings momentum profits and that the level of uncertainty avoidance is negatively associated with earnings momentum profits. This study contributes to the ongoing quest to better understand the earnings momentum phenomenon.

Number of Pages in PDF File: 47

Keywords: post-earnings announcement drift, individualism, earnings momentum, uncertainty avoidance, culture

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Date posted: December 1, 2010  

Suggested Citation

Dou, Yiwen (Paul) and Hunton, James E. and Truong, Cameron and Veeraraghavan, Madhu, Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets (November 29, 2010). Finance and Corporate Governance Conference 2011 Paper. Available at SSRN: http://ssrn.com/abstract=1717224 or http://dx.doi.org/10.2139/ssrn.1717224

Contact Information

Yiwen (Paul) Dou
Macquarie University ( email )
North Ryde
Sydney, New South Wales 2109
Australia
James E. Hunton
Bentley University - Department of Accountancy ( email )
175 Forest Street
Waltham, MA 02452
United States
Erasmus University
Rotterdam
Netherlands
Cameron Truong
Monash University ( email )
Wellington Road
Victoria, 3145
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Madhu Veeraraghavan (Contact Author)
T.A. PAI Management Institute, Finance Area ( email )
Bangalore
Manipal, Karnataka 576104
India
+91-820-2701030 (Phone)
Feedback to SSRN


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