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Replication data for: US International Equity Investment and Past and Prospective Returns

Version
V0
Resource Type
Dataset
Creator
  • Curcuru, Stephanie E.
  • Thomas, Charles P.
  • Warnock, Francis E.
  • Wongswan, Jon
Publication Date
2011-12-01
Description
  • 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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.101.7.3440 (Text)
Publications
  • Curcuru, Stephanie E, Charles P Thomas, Francis E Warnock, and Jon Wongswan. “US International Equity Investment and Past and Prospective Returns.” American Economic Review 101, no. 7 (December 2011): 3440–55. https://doi.org/10.1257/aer.101.7.3440.
    • ID: 10.1257/aer.101.7.3440 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11

Curcuru, Stephanie E.; Thomas, Charles P.; Warnock, Francis E.; Wongswan, Jon (2011): Replication data for: US International Equity Investment and Past and Prospective Returns. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112486