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Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10012463572

Look at Me Now : What Attracts U.S. Shareholders?

Ammer, John - 2006

This paper investigates the underlying determinants of home bias using a comprehensive data set on U.S. investors' aggregate holdings of every foreign stock. Among those foreign stocks that are not listed on U.S. exchanges, which account for more than 96 percent of our usable data sample, we...

Persistent link: https://www.econbiz.de/10012466165

The Performance of International Equity Portfolios

Thomas, Charles P. - 2006

This paper evaluates the ability of U.S. investors to allocate their foreign equity portfolios across 44 countries over a 25-year period. We find that U.S. portfolios achieved a significantly higher Sharpe ratio than foreign benchmarks, especially since 1990. We test whether this strong...

Persistent link: https://www.econbiz.de/10012466319

International Diversification at Home and Abroad

Cai, Fang - 2006

It is an established fact that investors favor the familiar--be it domestic securities or, within a country, the securities of nearby firms--and avoid investments that would provide the greatest diversification benefits. While we do not rule out familiarity as an important driver of portfolio...

Persistent link: https://www.econbiz.de/10012466448

Currency Matters : Analyzing International Bond Portfolios

Burger, John D. - 2017

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is largely absent from analyses of cross-border investment in debt securities. This omission owes in part to the limitations of widely used datasets such as the IMF's CPIS data (on...

Persistent link: https://www.econbiz.de/10012455507

Uncovered Equity Parity and Rebalancing in International Portfolios

Curcuru, Stephanie E. - 2014

repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to … we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U … tactical reallocations to increase returns rather than reduce risk …

Persistent link: https://www.econbiz.de/10012458701

Preferred Habitats and Timing in the World's Safe Asset

Tabova, Alexandra M.; Warnock, Francis E. - National Bureau of Economic Research - 2022

Investors' behavior in U.S. Treasuries - the world's safe asset - affects monetary policy transmission mechanisms, fiscal policy space, loan pricing, and international vulnerabilities. Yet it is not well understood for a simple reason: researchers, not having a clear picture of the Treasury...

Persistent link: https://www.econbiz.de/10013477214