TY  - JOUR
AU  - Curcuru,Stephanie E.
AU  - Thomas,Charles P.
AU  - Warnock,Francis E.
AU  - Wongswan,Jon
TI  - U.S. International Equity Investment and Past and Prospective Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16677
PY  - 2011
Y2  - January 2011
UR  - http://www.nber.org/papers/w16677
L1  - http://www.nber.org/papers/w16677.pdf
N1  - Author contact info:
Stephanie E. Curcuru
Board of Governors
of the Federal Reserve System
20th Street and Constitution Avenue, NW
Washington DC 20551
E-Mail: stephanie.e.curcuru@frb.gov

Charles P. Thomas
Board of Governors
of the Federal Reserve System
20th Street and Constitution Avenue, NW
Washington DC 20551
E-Mail: charles.thomas@frb.gov

Francis E. Warnock
Darden Business School
University of Virginia
Charlottesville, VA 22906-6550
Tel: 434/924-6076
Fax: 434/243-8945
E-Mail: warnockf@darden.virginia.edu

Jon Wongswan
Phatra Securities Public Company Limited
11F Muang Thai-Phatra Office Tower 1
252/6 Ratchadapisek Road
Bangkok, 10310
Thailand
E-Mail: jon@phatrasecurities.com
AB  - 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.
ER  -