IMF Working Papers

New Evidence on the US Excess Return on Foreign Portfolios

By Carol C. Bertaut, Stephanie E. Curcuru, Ester Faia, Pierre-Olivier Gourinchas

November 22, 2024

Download PDF More Formats on IMF eLibrary Order a Print Copy
More formats on IMF eLibrary Order a Print Copy

Preview Citation

Format: Chicago

Carol C. Bertaut, Stephanie E. Curcuru, Ester Faia, and Pierre-Olivier Gourinchas. "New Evidence on the US Excess Return on Foreign Portfolios", IMF Working Papers 2024, 241 (2024), accessed November 23, 2024, https://doi.org/10.5089/9798400294921.001

Export Citation

  • ProCite
  • RefWorks
  • Reference Manager
  • BibTex
  • Zotero
  • EndNote

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.

Summary

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.

Subject: Bonds, Financial institutions, Securities

Keywords: Bonds, Crises, Excess return, Exorbitant privilege, Global, Offshore centers, Portfolio composition, Securities, Superstar firms

Publication Details

You May Also Be Interested In...

Implementing Risk-Based Solvency for Insurers—Lessons from Kenya, Mexico, and South Africa

November 22, 2024

Colombia: Technical Assistance Report-Report on the Mineral Asset Accounts and Carbon Footprints Mission (May 20–24, 2024)

November 8, 2024

Implementing Board-Endorsed Recommendations From The 2024 External Evaluation Of The Fund’s Independent Evaluation Office (IEO)

November 7, 2024

The Federal Democratic Republic of Ethiopia: First Review Under the Extended Credit Facility Arrangement, Request for Modification of Performance Criteria, and Financing Assurances Review-Press Release; Staff Report; and Statement by the Executive Director for The Federal Democratic Republic of Ethiopia

November 4, 2024