Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC...

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner by unexpected US monetary policy actions during the period 1967-2007. Full sample results...