Abstract:<abstract>
<p>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 marke… Show more
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