>>nvarchar(max) should be enough. You may be falling into some trap here when you concatenate mulitple strings into one. Are you using PRINT to see the output? If so, it's limited to 8000 characters.
>
>I think that could have been the reason. BTW, what is the value of max?

according to docs..

Variable-length Unicode character data. n can be a value from 1 through 4,000. max indicates that the maximum storage size is 2^31-1 bytes. The storage size, in bytes, is two times the number of characters entered + 2 bytes. The data entered can be 0 characters in length. The ISO synonyms for nvarchar are national char varying and national character varying.