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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LICENSE.txt | text/plain | 14.6 KB | 10/11/2019 12:33:PM |
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:
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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:
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C58 Financial Econometrics
G11 Portfolio Choice; Investment Decisions
G15 International Financial Markets
C58 Financial Econometrics
G11 Portfolio Choice; Investment Decisions
G15 International Financial Markets
Geographic Coverage:
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Global
Time Period(s):
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1/1/1977 – 12/31/2008
Data Type(s):
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observational data;
program source code
Methodology
Data Source:
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Treasury International Capital system
Unit(s) of Observation:
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various,
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