This article sheds light on the important differences in self-declared happiness across countries of similar affluence. It hinges on the different happiness statements of natives and immigrants in a set of European countries to disentangle the influence of objective circumstances versus psychological and cultural factors. The latter turn out to be of non-negligible importance. In some countries, such as France, they are responsible for the best part of the country's unobserved idiosyncratic source of unhappiness. French natives are less happy than other Europeans, whether they live in France or outside. By contrast, immigrants are not less happy in France than they are elsewhere in Europe, but their happiness fall with the passage of time and generations. I show that these gaps in self-declared happiness have a real emotional counterpart and do not boil down to purely nominal differences.