Showing 81 - 90 of 458
We evaluate the performance of U.S. investors' international portfolios over a 25-year period. Portfolio returns are formed by first estimating monthly bilateral holdings in 44 countries using high-quality but infrequent benchmark surveys that enable us to eliminate the geographical bias in...
Persistent link: https://www.econbiz.de/10012727676
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/10012761254
Persistent link: https://www.econbiz.de/10000873397
Persistent link: https://www.econbiz.de/10001181996
We present a readily available monthly measure of the intensity of capital controls across 29 emerging market countries that is based on the degree of restrictions on foreign ownership of equities. The initial opening of a market as given by our measure corresponds well with the liberalization...
Persistent link: https://www.econbiz.de/10014401236
Partly reflecting structural advantages such a liquidity and strong investor protection, foreigners have built up extremely large positions in U.S. (as well as other dollar-denominated) financial assets. This paper describes the impact on global wealth of an unanticipated shock to U.S. financial...
Persistent link: https://www.econbiz.de/10014402986
We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document, as expected, that at a point in time U.S. portfolios are tilted towards...
Persistent link: https://www.econbiz.de/10014403970
Were the U.S. to persistently earn substantially more on its foreign investments ("U.S. claims") than foreigners earn on their U.S. investments ("U.S. liabilities"), the likelihood that the current environment of sizeable global imbalances will evolve in a benign manner increases. However, we...
Persistent link: https://www.econbiz.de/10005498674
Introduces the U.S. data on transactions in, and holdings of, cross-border derivatives, which have been collected through the Treasury International Capital (TIC) reporting system since March 2005. The article discusses the ways in which the data will improve U.S. external-sector reports,...
Persistent link: https://www.econbiz.de/10005386611
Introduces the U.S. data on transactions in, and holdings of, cross-border derivatives, which have been collected through the Treasury International Capital (TIC) reporting system since March 2005. The article discusses the ways in which the data will improve U.S. external-sector reports,...
Persistent link: https://www.econbiz.de/10010727413