Does market openness mitigate the impact of culture? An examination of international momentum profits and post-earnings-announcement drift

被引：2

作者：

Guo, Jiaqi ^{[1
]}

Holmes, Phil ^{[2
]}

机构：

[1] Univ Birmingham, Birmingham Business Sch, Edgbaston Pk Rd, Birmingham B15 2TT, W Midlands, England

[2] Univ Leeds, Leeds Univ Business Sch, Leeds LS2 9JT, W Yorkshire, England

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2022年 / 76卷

关键词：

Individualism; Sentiment; Culture; Openness; Momentum; Post-earnings-announcement drift; CONSUMER CONFIDENCE; NATIONAL CULTURE; CROSS-SECTION; SENTIMENT; RETURNS;

D O I：

10.1016/j.intfin.2021.101464

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We hypothesise cognitive dissonance arising from the interaction of individualism and sentiment drives cross-country variations in momentum returns and post-earnings-announcement-drift (PEAD) and that market openness mitigates the impact of culture. Empirical analysis of a sample of over 40 stock markets across the globe, supports the hypotheses. Results suggest returns to momentum and PEAD are driven by cognitive dissonance resulting from differences in culture, but the effects of individualism are reduced in more open markets. Mitigating effects are stronger for capital market integration and capital market openness measures than for financial openness. Results from robustness tests support our main findings.

引用

页数：19

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