February 2011

U.S. International Equity Investment and Past Prospective Returns

Stephanie E. Curcuru, Charles P. Thomas, Francis E. Warnock, and Jon Wongswan


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.

Full paper (screen reader version)

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

PDF: Full Paper

Back to Top
Last Update: July 10, 2020