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Book Synopsis U.S. International Equity Investment and Past and Prospective Returns by : Stephanie E. Curcuru
Download or read book U.S. International Equity Investment and Past and Prospective Returns written by Stephanie E. Curcuru and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis U.S. International Equity Investment and Past and Prospective Returns by : Stephanie E. Curcuru
Download or read book U.S. International Equity Investment and Past and Prospective Returns written by Stephanie E. Curcuru and published by . This book was released on 2011 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis U.S. International Equity Investment and Past and Prospective Retuns by :
Download or read book U.S. International Equity Investment and Past and Prospective Retuns written by and published by . This book was released on 2011 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Capital Flows by : Martin Feldstein
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Book Synopsis Investor Diversification and International Equity Markets by : Kenneth R. French
Download or read book Investor Diversification and International Equity Markets written by Kenneth R. French and published by . This book was released on 1991 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper, we construct new estimates of the international equity portfolio holdings of investors in the U.S., Japan, and Britain. More than 98% of the equity portfolio of Japanese investors is held domestically; the analogous percentages are 94% for the U.S., and 82% for Britain. We use a simple model of investor preferences and behavior to show that current portfolio patterns imply that investors in each nation expect returns in their domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification appears to be the result of investor choices, rather than institutional constraints.
Book Synopsis International Equity Investment with Selective Hedging Strategies by : Cheol S. Eun
Download or read book International Equity Investment with Selective Hedging Strategies written by Cheol S. Eun and published by . This book was released on 1994 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The International Equity Commitment by : Stephen Gorman
Download or read book The International Equity Commitment written by Stephen Gorman and published by Wiley. This book was released on 2000-04-14 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Equity Commitment refutes that rising correlation and costs, increasing exchange rate volatility, and underperformance of non-U.S. markets make investing in international equity undesirable, or, at best, irrelevant. The author uses a detailed analysis of the data to show not only that historical evidence supports a strategic allocation to international equity, but that the typical U.S. pension plan is underexposed.
Book Synopsis International Equity Transactions and U.S. Portfolio Choice by : Linda L. Tesar
Download or read book International Equity Transactions and U.S. Portfolio Choice written by Linda L. Tesar and published by . This book was released on 1994 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the cross-border transactions in equity by investors in Canada, Germany, Japan, the U.K. and the U.S. We find that investors from different countries make very different decisions about the allocation of their portfolio across markets. In contradiction to the notion that high variable transactions costs hinder international diversification, we find that the volume of gross equity flows vastly exceeds net equity flows and the turnover rate on foreign equity investments by some investors even exceeds domestic turnover rates. We also reject the hypothesis that U.S. investors follow the standard CAPM in allocating their global equity portfolio.
Book Synopsis Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the Us by : Karen K. Lewis
Download or read book Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the Us written by Karen K. Lewis and published by . This book was released on 2010 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past two decades international markets have become more open, leading to a common perception that global capital markets have become more integrated. In this paper, I ask what this integration and its resulting higher correlation would imply about the diversification potential across countries. For this purpose, I examine two basic groups of international returns: (1) foreign market indices and (2) foreign stocks that are listed and traded in the US. I examine the first group since this is the standard approach in the international diversification literature, while I study the second group since some have argued that US-listed foreign stocks are the more natural diversification vehicle (Errunza et al (1999)). In order to consider the possibility of shifts in the covariance of returns over time, I extend the break-date estimation approach of Bai and Perron (1998) to test for and estimate possible break dates across returns along with their confidence intervals. I find that the covariances among country stock markets have indeed shifted over time for a majority of the countries. But in contrast to the common perception that markets have become significantly more integrated over time, the covariance between foreign markets and the US market have increased only slightly from the beginning to the end of the last twenty years. At the same time, the foreign stocks in the US markets have become significantly more correlated with the US market. To consider the economic significance of these parameter changes, I use the estimates to examine the implications for a simple portfolio decision model in which a US investor could choose between US and foreign portfolios. When restricted to holding foreign assets in the form of market indices, I find that the optimal allocation in foreign market indices actually increases over time. However, the optimal allocation into foreign stocks decreases when the investor is allowed to hold foreign stocks that are traded in the US. Also, the minimum variance attainable by the foreign portfolios has increased over time. These results suggest that the benefits to diversification have declined both for stocks inside and outside the US.
Book Synopsis Triumph of the Optimists by : Elroy Dimson
Download or read book Triumph of the Optimists written by Elroy Dimson and published by Princeton University Press. This book was released on 2002-02-03 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors have too often extrapolated from recent experience. In the 1950s, who but the most rampant optimist would have dreamt that over the next fifty years the real return on equities would be 9% per year? Yet this is what happened in the U.S. stock market. The optimists triumphed. However, as Don Marquis observed, an optimist is someone who never had much experience. The authors of this book extend our experience across regions and across time. They present a comprehensive and consistent analysis of investment returns for equities, bonds, bills, currencies and inflation, spanning sixteen countries, from the end of the nineteenth century to the beginning of the twenty-first. This is achieved in a clear and simple way, with over 130 color diagrams that make comparison easy. Crucially, the authors analyze total returns, including reinvested income. They show that some historical indexes overstate long-term performance because they are contaminated by survivorship bias and that long-term stock returns are in most countries seriously overestimated, due to a focus on periods that with hindsight are known to have been successful. The book also provides the first comprehensive evidence on the long-term equity risk premium--the reward for bearing the risk of common stocks. The authors reveal whether the United States and United Kingdom have had unusually high stock market returns compared to other countries. The book covers the U.S., the U.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark, and South Africa. Triumph of the Optimists is required reading for investment professionals, financial economists, and investors. It will be the definitive reference in the field and consulted for years to come.
Book Synopsis U.S. International Equity Investment by : John Ammer
Download or read book U.S. International Equity Investment written by John Ammer and published by . This book was released on 2012 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: U.S. investors are the largest group of international equity investors in the world, but to date conclusive evidence on which types of foreign firms are able to attract U.S. investment is not available. Using a comprehensive dataset of all U.S. investment in foreign equities, we find that the single most important determinant of the amount of U.S. investment a foreign firm receives is whether the firm cross-lists on a U.S. exchange. Correcting for selection biases, cross-listing leads to a doubling (or more) in U.S. investment, an impact greater than all other factors combined. We also show that our firm-level analysis has implications for country-level studies, suggesting that research investigating equity investment patterns at the country-level should include cross-listing as an endogenous control variable. We describe easy-to-implement methods for including the importance of cross-listing at the country level.
Book Synopsis International Equity Flows and Returns by : Rui A. Albuquerque
Download or read book International Equity Flows and Returns written by Rui A. Albuquerque and published by . This book was released on 2014 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about U.S. investors' international equity trades: (i) trading by U.S. investors occurs in waves of simultaneous buying and selling; (ii) U.S. investors build and unwind foreign equity positions gradually; and (iii) U.S. investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.
Book Synopsis U.S. Equity Investment in Emerging Stock Markets by : Linda Louise Tesar
Download or read book U.S. Equity Investment in Emerging Stock Markets written by Linda Louise Tesar and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Performance of International Equity Portfolios by : Charles P. Thomas
Download or read book The Performance of International Equity Portfolios written by Charles P. Thomas and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 performance owed to trading expertise or longer-term allocation expertise. The evidence is overwhelmingly against trading expertise. While U.S. investors did abstain from momentum trading and instead sold past winners, we find no evidence that these past winners subsequently underperformed. In addition, conditional performance measures, which directly test reallocating into (out of) markets that subsequently outperformed (underperformed), suggest no significant trading expertise. In contrast, we offer strong evidence of longer-term allocation expertise: If we fix portfolio weights at the end of 1989 and do not allow reallocations, we still find superior performance in the recent period.
Book Synopsis International Equity Investing by : James R. Vertin
Download or read book International Equity Investing written by James R. Vertin and published by Irwin Professional Publishing. This book was released on 1984 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Twenty Years of International Equity Investing by : Richard O. Michaud
Download or read book Twenty Years of International Equity Investing written by Richard O. Michaud and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: International equity portfolio diversification is now well accepted by investors around the world. It was a novel concept, and perceived as unusually risky, when proposed originally in the Journal by Bergstrom (1975). In the twenty years since, many other writers have described the risk reduction and return enhancement of carefully diversifying portfolios across different international equity markets. A comprehensive summary of the extensive literature appears in Solnik (1988).In these two decades, the benefits of global portfolio diversification have been largely accepted by the academic and professional investment communities. At this point, it is of interest to consider two critical questions: 1. Has international equity diversification achieved it original objectives of raising return per unit of risk for U.S.-based and other global investors? 2. What new routes are open to future global investors?
