Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market

Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market

This study examines the relationship between market volatility conditions and the weekend effect on size and profitability anomalies in the U.S. stock market. The study uses the ICSS model to divide the sample into high- and low-volatility periods. Empirical results indicate that the weekend effect...

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Bibliographic Details
Main Authors: Wenhui Li, Normaziah Mohd Nor, Hisham M, Feng Min
Format: Article
Language:English
Published: AIMS Press 2023-06-01
Series:Quantitative Finance and Economics
Subjects:
stock market volatility
weekend effect
factor investing
volatility management
icss model
vix
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2023016?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2023016?viewType=HTML

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