Note(s): This table reports the results of cross-sectional regressions across different levels of national cultures. For each month, we first divide the sample into three subsamples (Low, Median and High) according to individual stocks' values of IDV (or UAI). For each of the subgroups, we perform the following cross-sectional regressions

$Ri,t−Rf,t=c0+c1,j⁡ln(1+TAGi,t−1)+c2,j⁡ln⁡SIZEi,t+c3,j⁡ln⁡BMi,t−1+c4,jPRETi,t+εi,t,$

where R_i,t is stock i's monthly return in US dollars from July of year t to June of year t+1; R_f,t is the risk-free rate of the corresponding month, which is proxied by the 1-month US T-bill rate; TAG_i,t−1 and BM_i,t−1 are stock i's asset growth rate and book-to-market equity ratio in fiscal year t−1; SIZE_i,t is stock i's market capitalization in June of year t; PRET_i,t is stock i's past 12-month cumulative return ending in the previous month; $j=1,2,3,$ which represents lowest to highest IDV (or UAI) groups. We test the time-series averages of the monthly estimated coefficients from cross-sectional regressions. Panels A and B report the results with the US markets included and excluded, respectively. Numbers in the parentheses are the t-statistics calculated using Newey and West's (1987) robust standard errors. ***, ** and * denote significance at the 1%, 5% and 10% levels, respectively

Source(s): Author's work