| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12346 |
| 来源ID | Working Paper 12346 |
| The Performance of International Equity Portfolios | |
| Charles P. Thomas; Francis E. Warnock; Jon Wongswan | |
| 发表日期 | 2006-07-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; International Economics ; International Factor Mobility |
| URL | https://www.nber.org/papers/w12346 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570003 |
| 推荐引用方式 GB/T 7714 | Charles P. Thomas,Francis E. Warnock,Jon Wongswan. The Performance of International Equity Portfolios. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12346.pdf（558KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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