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Curcuru, Stephanie E.,
Charles P. Thomas,
Francis E. Warnock, and
Jon Wongswan. 2011. "US International Equity Investment and Past and Prospective Returns."
,
101(7): 3440-55.
Show Article Details
DOI: 10.1257/aer.101.7.3440
Abstract: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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Authors:
Curcuru, Stephanie E. (Federal Reserve Board)
Thomas, Charles P. (Federal Reserve Board)
Warnock, Francis E. (U VA)
Wongswan, Jon (Phatra Securities Public Company Limited, Bangkok)
JEL Classifications:
C58: Financial Econometrics
G11: Portfolio Choice; Investment Decisions
G15: International Financial Markets
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