The object importer for GMax works fine.
The exporter is a waste of time.
Been a while since I used GMax.
So....
Depending on which exporters are built in?
Deep Exploration can convert the exported file.
But it's not free.
3D Object Converter however, is free.
here is a link to files it can handle.
http://web.t-online.hu/karpo/formats.html