The Performance of International Equity Portfolios
Charles Thomas,
Francis Warnock and
Jon Wongswan
No 817, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)
Abstract:
This paper evaluates the performance of U.S. investors' portfolios in the equities of over 40 countries over a 25-year period. We find that these portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We uncover three potential reasons for this success. First, U.S. investors abstained from momentum trading and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information played a role. Third, the documented preference for cross-listed and well-governed foreign firms appears to have served U.S. investors well. We conclude with a short discussion of the implications of our findings for the home bias literature.
Keywords: Home bias; Momentum; Contrarian; Conditional performance measures; Equities; Bonds (search for similar items in EconPapers)
JEL-codes: F21 G11 G12 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2004
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (25)
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https://www.federalreserve.gov/pubs/ifdp/2004/817/ifdp817.pdf (Original) (application/pdf)
Related works:
Working Paper: The Performance of International Equity Portfolios (2006)
Working Paper: The Performance of International Equity Portfolios (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:817
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