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New Evidence on the US Excess Return on Foreign Portfolios
Author:
Carol C. Bertaut
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Stephanie E. Curcuru
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Ester Faia
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Pierre-Olivier Gourinchas https://isni.org/isni/0000000404811396 International Monetary Fund

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Series:
IMF Working Papers
Volume/Issue:
Volume 2024: Issue 241
Language:
English
Publication Date:
22 Nov 2024
DOI:
https://doi.org/10.5089/9798400294921.001
ISBN:
9798400294921
ISSN:
1018-5941
Pages:
30
Keywords:
Exorbitant privilege; excess return; portfolio composition; crises; offshore centers; superstar firms; equity portfolio; higher-return equities; equity share; Bonds; Exchange rates; Securities; Global financial crisis of 2008-2009; Global; Caribbean
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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We provide new estimates of the return on US external claims and liabilities using confidential, high-quality, security-level data. The excess return is positive on average, since claims are tilted toward higher return equities. The excess return is large and positive in normal times but large and negative during global crises, reflecting the global insurance role of the US external balance sheet. Controlling for issuer’s nationality, we find that US investors have a larger exposure to equity issued by Asia-headquartered corporations than reported in the aggregate statistics. Finally, equity portfolios are concentrated in ’superstar’ firms, but for US liabilities foreign holdings are less concentrated than the overall market.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund