This paper examines the extent to which cultural differences influence the returns of momentum strategies. We measure cultural differences using an index of individualism developed by Hofstede (2001), which we argue is related to overconfidence and self-attribution bias. Our cross-country...

Real estate investment trusts (REITs) provide a good setting to examine intra-industry momentum. The industry is relatively homogenous and well defined, and the industry experienced structural changes that allow us to test alternative explanations for the observed momentum effect. Specifically,...