U.S. international equity investment and past prospective returns
Stephanie E. Curcuru,
Charles Thomas (),
Francis Warnock and
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Stephanie E. Curcuru: https://www.federalreserve.gov/econres/stephanie-e-curcuru.htm
No 1016, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)
Counter to extant stylized facts, using newly available data on country allocations in U.S. investors' foreign equity portfolios we find that (i) U.S. investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) U.S. investors increase portfolio weights on a country's equity market just prior to its strong performance, behavior inconsistent with an informational disadvantage. Over the past two decades, U.S. investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year.
Keywords: Investments, Foreign; Portfolio management (search for similar items in EconPapers)
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