U.S. International Equity Investment and Past and Prospective Returns

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

No 16677, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F21 G11 G15 (search for similar items in EconPapers)
Date: 2011-01
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Published as Curcuru, Stephanie E., Charles P. Thomas, Francis E. Warnock, and Jon Wongswan. 2011. "US International Equity Investment and Past and Prospective Returns." American Economic Review, 101(7): 3440–55.

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Journal Article: US International Equity Investment and Past and Prospective Returns (2011)
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