Replication data for: US International Equity Investment and Past and Prospective Returns

Principal Investigator(s): View help for Principal Investigator(s) Stephanie E. Curcuru; Charles P. Thomas; Francis E. Warnock; Jon Wongswan

Version: View help for Version V1

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Project Citation:

Curcuru, Stephanie E., Thomas, Charles P., Warnock, Francis E., and Wongswan, Jon. Replication data for: US International Equity Investment and Past and Prospective Returns. Nashville, TN: American Economic Association [publisher], 2011. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112486V1

Project Description

Summary: 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)

Scope of Project

JEL Classification:
      C58 Financial Econometrics
      G11 Portfolio Choice; Investment Decisions
      G15 International Financial Markets

Geographic Coverage: Global

Time Period(s): 1/1/1977 – 12/31/2008

Data Type(s): observational data; program source code

Methodology

Data Source: Treasury International Capital system

Unit(s) of Observation: various,

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V1 [2019-10-11]

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