Date of Award
Spring 6-4-2026
Document Type
Thesis (Undergraduate)
Department
Economics
First Advisor
Eric W. Zitzewitz
Abstract
This paper reexamines the relationship between cultural differences and momentum strategy returns over the period March 2007 through March 2026, building on the Chui, Titman and Wei (2010) finding that higher individualism is associated with greater trading volume, volatility, and momentum profits. Cross-country cultural differences are measured using an individualism index developed by Minkov et al. (2017), which is related to overconfidence and self-attribution bias. Using monthly stock price data, I construct cleaned monthly returns and sort stocks into six-month momentum portfolios. Although many of the 41 countries common to the original and current samples have experienced changes in their relative individualism and momentum profitability over the past two decades, individualism remains positively associated with trading volume and the magnitude of momentum returns. Countries that become relatively more individualistic also tend to experience increases in momentum profitability across sample periods. By contrast, stock volatility appears to be driven more by macroeconomic conditions than by individualism. The individualism-momentum relationship does not appear to be fully driven by small stocks, but it is strongest among stocks with relatively low analyst coverage. It is also more closely related to dimensions of individualism tied to tolerance for nonconformity and generalized trust than to preferences for autonomy or religiosity.
Recommended Citation
Sciubba, Hayley S., "Individualism and Momentum Revisited: Evidence on the Persistence of Cultural Drivers in Stock Market Returns" (2026). Economics Undergraduate Senior Theses. 3.
https://digitalcommons.dartmouth.edu/economics_senior_theses/3
