US International Equity Investment and Past and Prospective Returns

被引：40

作者：

Curcuru, Stephanie E. ^{[1
]}

Thomas, Charles P. ^{[1
]}

Warnock, Francis E. ^{[2
,3
]}

Wongswan, Jon ^{[4
,5
]}

机构：

[1] Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA

[2] Univ Virginia, Darden Business Sch, Charlottesville, VA 22906 USA

[3] Natl Bur Econ Res, Cambridge, MA 02138 USA

[4] Phatra Secur Publ Co Ltd, Bangkok 10310, Thailand

[5] Thammasat Univ, Thammasat Business Sch, Bangkok 10200, Thailand

来源：

AMERICAN ECONOMIC REVIEW | 2011年 / 101卷 / 07期

关键词：

CONDITIONAL PERFORMANCE; DOMESTIC INVESTORS; STOCK; PREDICTABILITY; STRATEGIES; MARKETS;

D O I：

10.1257/aer.101.7.3440

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 returnschasing 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.

引用

页码：3440 / 3455

页数：16

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