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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page U.S. International Equity Investment and Past Prospective Returns
Stephanie E. Curcuru, Charles P. Thomas, Francis E. Warnock, and Jon Wongswan
2011-1016  (February 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.

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Momentum, contrarian, portfolio performance measures, international returns

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Last update: March 10, 2011