But not all of soccer's high-priced stars struggle with their lofty valuations. Javier Pastore has adapted quickly to life as the poster boy of Qatar Sports Investment's spending spree at French club Paris Saint-Germain.
The Argentina playmaker has found the net 10 times in 25 games since moving to the French capital from Italian club Palermo for a French record transfer fee of €42 million ($56 million) in August 2011.
Pastore's form has been a key factor in PSG's rise to second in the French First Division, with the team currently sat in the final qualifying spot for the European Champions League and on track to return to the competition for the first time since 2004.
Javier Pastore predicts PSG success Ancelotti eyes PSG success
"There was only pressure at the beginning," the 22-year-old told CNN when asked about the pressure of his transfer fee. "Then the pressure goes away and I didn't feel it anymore.
Paris St-Germain's ambitious president Ancelotti: PSG can rival Europe's best.
Putting the pride back into PSG
"The first few games, yeah, because people talked about it a lot. And if you don't score a goal, you think, 'Oh, they made the wrong decision and should have bought another player,' but it happens. That's football."
Pastore is one part of a trio with Italian connections who have become the face of PSG under new Qatari chairman Nasser Al-Khelaifi
Carlo Ancelotti, who won the Champions League as a player and a coach with AC Milan, replaced sacked manager Antoine Kombouare in December.
PSG's director of football Leonardo also has ties to the San Siro. Like former Italy international Ancelotti, the Brazilian World Cup winner has been a player and coach at Milan.
Cash for cups? Qatar's influence spreads
Pastore said the influence of Leonardo, also a midfielder in his playing days, was key to his decision to head to the Parc des Princes, despite reported interest from more prestigious clubs.
"The person who convinced me the most was Leonardo," he said. "He always showed interest in me and was always in touch.
"When the club's project emerged, he was the one who told me about it and encouraged me to come over.
If you don't score a goal, you think, 'Oh, they made the wrong decision and should have bought another player'
"There were a lot of good reasons to come in PSG's project and I was a part of them. Luckily, I can tell you that I made the right choice."
Can Qatari cash make PSG a football force?
Pastore has been impressed with the impact former Chelsea manager Ancelotti has had during his first few months with the club.
"Carlo is a big-name manager with lots of experience and was a big change from the previous manager. Tactically, he does things differently since he has been in other countries," said Pastore, who played for Atletico Huracan in his homeland.
"He knows a lot about how they play in each league and that definitely gives us something we didn't have before."
PSG have made no secret of their attempts to attract football's biggest stars, with ambitious bids for Manchester City's Carlos Tevez and Los Angeles Galaxy's David Beckham falling through in January.
AC Milan's Alexandre Pato and Real Madrid's Kaka have also been linked with PSG, and Pastore admitted he would love his fellow Argentina international Gonzalo Higuain to join him too.
I'd like to bring over a player like Higuain, he would be a very important part of our team
"I'd like to bring over a player like Higuain," he said of the Real Madrid striker. "He would be a very important part of our team and could make a big difference in France.
"I have a good relationship with him, but we haven't talked. He's on Real Madrid... it's not like he's on a club that's smaller than Paris Saint-Germain."
The two-time French champions are six points ahead ahead of third-placed Lille and one point behind surprise leaders Montpellier following last weekend's dramatic 4-4 draw with Lyon.
Like everyone else involved with the 1996 Cup Winners' Cup holders, Pastore knows that the ultimate aim is for PSG to compete at the top of European football.
"We wanted to be in the qualifying spots and go to the Champions League, so the team could grow and play another competition.
"We obviously want to be French champions because it's within our grasp. But our main goal was always to get to the Champions League."