The Plausibility of Risk Estimates and Implied Costs to International Equity Investment

2007 ◽  
Author(s):  
Lieven De Moor ◽  
Piet M. F. A. Sercu ◽  
Rosanne Vanpee
Keyword(s):  
Equity Investment ◽  
Risk Estimates ◽  
International Equity

A currency preferential approach to international equity investment

2015 ◽  
Vol 47 (49) ◽  
pp. 5247-5261
Author(s):  
Mei Qiu ◽  
John F. Pinfold ◽  
Lawrence C. Rose
Keyword(s):  
Equity Investment ◽  
International Equity

scholarly journals U.S. International Equity Investment

2012 ◽  
Vol 2012 (1044) ◽  
pp. 1-62
Author(s):  
John Ammer ◽  
◽  
Sara B. Holland ◽  
David C. Smith ◽  
Francis E. Warnock
Keyword(s):  
Equity Investment ◽  
International Equity

scholarly journals U.S. International Equity Investment

2012 ◽  
Vol 50 (5) ◽  
pp. 1109-1139 ◽  
Author(s):  
JOHN AMMER ◽  
SARA B. HOLLAND ◽  
DAVID C. SMITH ◽  
FRANCIS E. WARNOCK
Keyword(s):  
Equity Investment ◽  
International Equity

scholarly journals Specialized International Equity Investment With Forward Foreign Exchange Trading: A U. S. Viewpoint

2011 ◽  
Vol 21 (2) ◽  
Author(s):  
Marlena Akhbari ◽  
Nicolas Gressis ◽  
Fall Ainina
Keyword(s):  
Random Walk ◽  
Foreign Currency ◽  
Stock Index ◽  
Forward Rate ◽  
Font Size ◽  
Equity Investment ◽  
Rule Of Thumb ◽  
Random Walk Hypothesis ◽  
International Equity ◽  
Foreign Exchange Trading

<p class="MsoBlockText" style="margin: 0in 0.6in 0pt 0.5in;"><span style="font-style: normal; font-size: 10pt;"><span style="font-family: Times New Roman;">Assuming risk-neutrality and the random walk model we derive a rule-of-thumb that periodically selects the appropriate foreign stock index and is either long or short foreign currency contracts.<span style="mso-spacerun: yes;">&nbsp; </span>The empirical results of testing the rule-of-thumb with an investment universe of six major foreign equity markets show that our rule-of-thumb provides performance superior to investing in foreign stock indices alone.<span style="mso-spacerun: yes;">&nbsp; </span>In addition, we test and reject the Unbiased Forward Rate Hypothesis (UFRH) in favor of the Random Walk Hypothesis (RWH).</span></span></p>

scholarly journals U.S. International Equity Investment

2012 ◽  
Author(s):  
John Ammer ◽  
Sara Holland ◽  
David Smith ◽  
Francis Warnock
Keyword(s):  
Equity Investment ◽  
International Equity

scholarly journals US International Equity Investment and Past and Prospective Returns

2011 ◽  
Vol 101 (7) ◽  
pp. 3440-3455 ◽  
Author(s):  
Stephanie E Curcuru ◽  
Charles P Thomas ◽  
Francis E Warnock ◽  
Jon Wongswan
Keyword(s):  
Equity Market ◽  
Stylized Facts ◽  
Equity Investment ◽  
Portfolio Rebalancing ◽  
The Past ◽  
A Value ◽  
International Equity ◽  
Strong Performance ◽  
Equity Portfolios ◽  
Performance Behavior

Counter to extant stylized facts, using newly available data on country allocations in US investors' foreign equity portfolios we find that (i) US investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) US 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, US investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year. JEL: C58, G11, G15

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