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Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
U.S. international equity investment and past prospective returns
Stephanie E. Curcuru
Charles P. Thomas
Francis E. Warnock
Jon Wongswan
Abstract

Counter to extant stylized facts, using newly available data on country allocations in U.S. investors' foreign equity portfolios we find that (i) U.S. investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) U.S. 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, U.S. investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year.


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Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, U.S. international equity investment and past prospective returns, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 1016, 2011.
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Keywords: Investments; Foreign ; Portfolio management
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