This paper examines how cultural differences influence the returns of momentum strategies. Cross-country cultural differences are measured with an individualism index developed by Hofstede (2001), which is related to overconfidence and selfattribution bias. We find that individualism is positively associated with trading volume and volatility, as well as to the magnitude of momentum profits. Momentum profits are also positively related to analyst forecast dispersion, transaction costs, and the familiarity of the market to foreigners, and negatively related to firm size and volatility. However, the addition of these and other variables does not dampen the relation between individualism and momentum profits.A SUBSTANTIAL LITERATURE EXAMINES what is generally referred to as the momentum effect-the observation that stocks that perform the best in the recent past continue to perform well in the future. For example, Titman (1993, 2001) find that stocks in the United States that realize the best (worst) returns over the past 3 to 12 months continue to perform well (poorly) over the subsequent 3 to 12 months. The profitability of momentum strategies is found in equity markets throughout the world (see, for example, Rouwenhorst (1998) for a study of momentum in Europe and Griffin, Ji, and Martin (2003) 362The Journal of Finance R for a study of momentum around the world). However, there are important exceptions, most notably in Asia (e.g., Chui, Titman, and Wei (2003)).Given the magnitude of momentum profits, about 12% per year in the United States and Europe, they are unlikely to be explained by risk-based theories. Indeed, most of the focus in the academic literature has been on behavioral explanations for this phenomenon.1 For example, Daniel, Hirshleifer, and Subrahmanyam (DHS, 1998) show how the momentum effect can be generated by investors' overconfidence and self-attribution bias and Barberis, Shleifer, and Vishny (BSV, 1998) and Hong and Stein (1999) show how momentum can be generated by investors' initial underreaction to information. This paper uses international data to examine the extent to which the momentum effect is generated by behavioral biases. In particular, we examine whether momentum profits are greater in those countries where investors are likely to exhibit the psychological biases discussed in the behavioral finance literature. Our focus is on what psychologists refer to as "individualism," which, according to Hofstede (2001), reflects the degree to which people focus on their internal attributes, such as their own abilities, to differentiate themselves from others. Specifically, we use an individualism index reported by Hofstede (2001) that is based on survey evidence from 50 countries.2 Although we are not aware of this index being used in the finance literature, Hofstede's individualism index and other cultural values have become widely accepted since Hofstede published his results in 1980 (Hofstede (1980)) and they have been used by many researchers in other business discipl...