U.S. International Equity Investment and Past Prospective Returns

34 Pages Posted: 26 Mar 2011

See all articles by Stephanie E. Curcuru

Stephanie E. Curcuru

Board of Governors of the Federal Reserve System

Charles P. Thomas

Thomas & Son Analytics

Francis E. Warnock

University of Virginia - Darden Business School; National Bureau of Economic Research (NBER)

Jon Wongswan

Phatra Securities

Date Written: February 24, 2011

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.

Keywords: Momentum, contrarian, portfolio performance measures, international returns

JEL Classification: G11, G12, F21

Suggested Citation

Curcuru, Stephanie E. and Thomas, Charles P. and Warnock, Francis E. and Wongswan, Jon, U.S. International Equity Investment and Past Prospective Returns (February 24, 2011). FRB International Finance Discussion Paper No. 1016. Available at SSRN: https://ssrn.com/abstract=1794127 or http://dx.doi.org/10.2139/ssrn.1794127

Stephanie E. Curcuru (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th and C Streets, NW
Washington, DC 20551
United States

Charles P. Thomas

Thomas & Son Analytics ( email )

5409 Center St
Chevy Chase, MD 20815
United States
2022075834 (Phone)

Francis E. Warnock

University of Virginia - Darden Business School ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-6076 (Phone)

HOME PAGE: http://faculty.darden.virginia.edu/warnockf/index.htm

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138-5398

Jon Wongswan

Phatra Securities ( email )

11F Muang Thai-Phatra Office Tower 1
252/6 Ratchadapisek Road
Bangkok, 10400
Thailand

Register to save articles to
your library

Register

Paper statistics

Downloads
42
Abstract Views
571
PlumX Metrics