U.S. international equity investment and past prospective returns

Stephanie E. Curcuru, Charles Thomas, Francis Warnock and Jon Wongswan
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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.)

Abstract: 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)
Date: 2011
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (10)

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