Trading behavior and investment performance of U.S. investors in global equity markets

This study is prompted by the growing importance of global equity investments as international investment opportunities expand. Specifically, the focus is to investigate: (1) momentum strategies in international equity markets, (2) investment performance in these markets from the perspective of U.S. investors, and (3) effects of making risk adjustments and momentum trading adjustments when evaluating investment performance. Eighteen emerging markets and eighteen developed markets are included in the study over the period 1992-2003. The basic conclusions are that markets reflect winners-momentum trading and losers-contrarian trading. Momentum effects on investment performance are strong but risk-taking effects are weak.