波动状况和多空异常的周末效应:来自美国股市的证据

IF 3.2 Q1 BUSINESS, FINANCE
Wenhui Li, N. Nor, Hisham M, Feng Min
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引用次数: 0

摘要

本研究探讨了市场波动条件与周末效应对美国股市规模和盈利能力异常的影响之间的关系。本研究使用ICSS模型将样本划分为高波动期和低波动期。实证结果表明,规模和盈利能力异常的周末效应在低波动状态下显著,在高波动状态下不显著,并且在不同的股票市场波动率和子样本度量中是一致的。此外,我们确定了VIX指数的对数回报的周内模式是周末对盈利能力和规模异常影响的驱动因素。我们的研究不仅拓展了对多空异常周末效应的理解,而且为因子投资中波动率管理的有效性提供了新的证据。这对投资者也有重要的启示,他们应该考虑根据我们的结果改进他们的要素投资策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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 of size and profitability anomalies is significant in low-volatility states and insignificant in high-volatility conditions, and it is consistent across different measures of stock market volatility and subsamples. Additionally, we identify the intra-week patterns of log returns on the VIX index as the driver of the weekend effect on profitability and size anomalies. Our study not only extends the understanding of the weekend effect of long-short anomalies but also provides new evidence on the effectiveness of volatility management in factor investing. It also has important implications for investors, who should consider improving their factor investment strategies based on our results.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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