![]()
| ||||
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.
Full paper (204 KB PDF)
| Full paper (screen reader version)
PDF files: Adobe Acrobat Reader ZIP files: PKWARE Home | IFDPs | List of 2011 IFDPs Accessibility | Contact Us Last update: March 10, 2011 |