10.17889/E109562
Curcuru, Stephanie E.
Thomas, Charles P.
Wongswan, Jon
Warnock, Francis E.
Replication data for: US International Equity Investment and Past and Prospective Returns
ICPSR Inter-university Consortium for Political and Social Research
2010
10.1257/aer.101.7.3440
10.1257/aer.101.7.3440
V0
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)