| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15077 |
| 来源ID | Working Paper 15077 |
| Decomposing the U.S. External Returns Differential | |
| Stephanie E. Curcuru; Tomas Dvorak; Francis E. Warnock | |
| 发表日期 | 2009-06-11 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | 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 timing of foreign investors--caused primarily by deliberate trading, not a lack of portfolio rebalancing--contributes positively to the U.S. external returns differential. We find no evidence that the poor timing is driven by mechanical reserve accumulation by emerging market countries; rather, it is driven almost entirely by the poor timing of rich, developed (mainly European) countries. Finally, while poor foreign timing appears to be persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as well as the overall differential, are sometimes negative, sometimes positive, and usually indistinguishable from zero. |
| 主题 | International Economics ; International Factor Mobility ; International Finance |
| URL | https://www.nber.org/papers/w15077 |
| 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/572753 |
| 推荐引用方式 GB/T 7714 | Stephanie E. Curcuru,Tomas Dvorak,Francis E. Warnock. Decomposing the U.S. External Returns Differential. 2009. |
| 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 | ||
| w15077.pdf（169KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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