U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?

American Economic Review

Volumn 86, Issue 2, 1996, Pages 77-81

  Bohn, Henning ^a   Tesar, Linda L ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002518156     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. Adler, Michael and Dumas, Bernard. "International Portfolio Choice and Corporation Finance: A Synthesis." Journal of Finance, June 1983, 38(3), pp. 925-84.
2. Bohn, Henning and Tesar, Linda L. "The U.S. investment portfolio and the ICAPM." Mimeo, University of California-Santa Barbara, 1995.
3. Cox, John C.; Ingersoll, Jonathan E., Jr. and Ross, Stephen A. "An Intertemporal General Equilibrium Model of Asset Prices." Econometrica, March 1985, 53(2), pp. 363-84.
4. Engel, Charles M. and Rodrigues, Anthony P. "Tests of International CAPM with Time-Varying Covariances." Journal of Applied Econometrics, April-June 1989, 4(2), pp. 119-38.
5. Frankel, Jeffrey A. and Engel, Charles M. "Do Asset-Demand Functions Optimize Over the Mean and Variance of Real Returns? A Six-Currency Test." Journal of International Economics, November 1984, 17 (3-4), pp. 309-23.
6. Harvey, Campbell R. "The World Price of Covariance Risk." Journal of Finance, March 1991, 46(1), pp. 111-57.
7. Tesar, Linda L. and Werner, Ingrid M. "International Securities Transactions and Portfolio Choice," in Jeffrey A. Frankel, ed., The internationalization of equity markets. Chicago, IL: University of Chicago Press, 1994, pp. 185-216.