US International Equity Investment and Past and Prospective Returns
AbstractCounter to extant stylized facts, using newly available data on country allocations in US investors' foreign equity portfolios we find that (i) US investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) US 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, US investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year. (JEL: C58, G11, G15)
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Bibliographic InfoArticle provided by American Economic Association in its journal American Economic Review.
Volume (Year): 101 (2011)
Issue (Month): 7 (December)
Find related papers by JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Marcel Fratzscher, 2012.
"Capital Controls and Foreign Exchange Policy,"
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- Fratzscher, Marcel, 2012. "Capital controls and foreign exchange policy," Working Paper Series 1415, European Central Bank.
- Marcel Fratzscher, 2011. "Capital Controls and Foreign Exchange Policy," Working Papers Central Bank of Chile 652, Central Bank of Chile.
- Cai, Fang & Warnock, Francis E., 2012. "Foreign exposure through domestic equities," Finance Research Letters, Elsevier, vol. 9(1), pages 8-20.
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