OBJ and FBX format doesn't store material information. Either you will have to make new materials yourself or if you use Vray, there are some tools to help that:
http://www.fxfx.net/2010/12/02/how-to-use-3d-studio-max-v-ray-material-in-maya-v-ray/
Here is another post related to this issue:
http://forums.autodesk.com/t5/FBX-Plug-ins-Import-Export/Export-from-Max-into-Maya/td-p/4105743
Could you describe what textures do you use? Is it bitmaps or do you use procedural textures as well? Also what is the renderer, 3dsmax standard, Vray or any other?