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

We examine the role of cultural difference in the pricing of positive extreme returns (MAX) for 47,000 stocks from 42 countries from 1990 to 2012. We find that investors overpay for stocks with high MAX and that MAX-premium, the spread from long-short strategy based on low- and high-MAX stocks, is both statistically and economically signi...More