Date of Award
8-28-2023
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Lorán Chollete
Committee Member
Dr. Zhijian Huang
Committee Member
Dr. W. Keener Hughen
Abstract
This paper examines the momentum effect in U.S. cross-listed companies, exploring the relationship between cultural distance and momentum portfolio formation, and how cultural distance affects momentum portfolio returns for US cross-listed firms. The study selects cross-listed companies from January 2001 to December 2022 and create momentum portfolios (Chui, Timan, & Wei, 2010) to test the momentum effect of cross-listed companies in the United States. The cultural distance for cross-listed companies is then calculated using the within-group cultural diversity method (Frijns, Dodd, & Cimerova, 2016) and the Hofstede (2001) dimensional method to find the momentum effect in cultural distance sorted groups. The study also examines the relationship between cultural distance and momentum portfolio formation and the impact of cultural distance on cross-listed companies momentum returns using multiple regression methods. The results show that there is a momentum effect in US cross-listed companies, and a stronger momentum effect when the cross-listed company is from a country more culturally different from the US. Companies with higher cultural distance scores are more likely to be selected as winning portfolios.
Recommended Citation
Liu, L. (2023). Cultural distance and momentum effect—The case of cross-listed companies in the United States. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/34/
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons
Comments
Submitted as partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance Sacred Heart University, Jack Welch College of Business and Technology, Sacred Heart University.