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Trust and momentum: International evidence

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  • Liu, Qianqiu
  • Shou, Ming

Abstract

This study examines how trust, a cultural and societal factor, can influence the profitability of momentum strategies in international stock markets. Using the trust measure developed by the World Values Survey and European Values Study for 65 markets from 1981 to 2019, we find that trust is positively associated with momentum profits. The trust effect on momentum is stronger in advanced economies; the positive relation is robust across size, after risk adjustment, controlling for firm characteristics and information environment, and using alternative trust measures. Trust has stronger explanatory power than uncertainty avoidance and investor myopia on momentum profitability, and it includes unique information not in individualism.

Suggested Citation

  • Liu, Qianqiu & Shou, Ming, 2026. "Trust and momentum: International evidence," Journal of Empirical Finance, Elsevier, vol. 87(C).
    • Handle: RePEc:eee:empfin:v:87:y:2026:i:c:s0927539826000253
    DOI: 10.1016/j.jempfin.2026.101710
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    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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