雖然George and Hwang（2007）設計的52週高點和五年低點度量來解釋動能策略以及報酬反轉是分開的現象，之前對於用此兩種度量來解釋現象的實證是相對缺乏的。本文研究George and Hwang（2007）的結果是否一致存在於全球市場，進而文化可以解釋投資者的行為與否。這項研究延伸他們的研究模型至全球市場，我們根據 Stulz and Williamson (2003) 的觀點，研究文化指標，包含個人主義，宗教和語言，以及證券交易所成熟度和資本利得稅，是否可以解釋短期動能與長期反轉的現象。研究結果發現，全球市場與George and Hwang（2003, 2007）的觀點並不一致。進一步分析顯示，個人主義指數對短期動能與長期報酬似乎比較有解釋能力。 While George and Hwang (2007) showed that the short-term momentum and long-term reversals are separate phenomena, it is not clear if their theories hold for markets outside the US. This paper investigates whether the results of George and Hwang (2007) hold around the world, and examines whether culture difference can explain investor’s behavioral. Motivated by Stulz and Williamson (2003), I examine whether several culture proxies, i.e., individualism, religion and language, and other alternative measures such as the history of stock exchange and capital-gain lock-in effect, could explain the performance on various trading strategies. The findings suggest that the results of George and Hwang (2007) are not significant around the world and that individualism had higher explanatory power on investor behavior. Moreover, other culture proxies had insignificant effect. When we tested all proxies in the regression, the result was insignificant. These findings implied that individualism index could explain investor’s decisions around the world.
