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US International Equity Investment and Past and Prospective Returns

Listed author(s):
  • Stephanie E. Curcuru
  • Charles P. Thomas
  • Francis E. Warnock
  • Jon Wongswan

Counter 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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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/aer.101.7.3440
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Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 101 (2011)
Issue (Month): 7 (December)
Pages: 3440-3455

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Handle: RePEc:aea:aecrev:v:101:y:2011:i:7:p:3440-55
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