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The mean–variance relation: A 24-hour story

Wang, Wenzhao
Publication Date
2021-11
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Keywords
Mean-variance relation, Overnight return, Risk-return tradeoff
Rights
© 2021 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
24/08/2021
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Management and Law Publications
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Abstract
This paper investigates the mean-variance relation during different time periods within trading days. We reveal that there is a positive mean-variance relation when the stock market is closed (i.e., overnight), but the positive relation is distorted when the market is open (i.e., intraday). The evidence offers a new explanation for the weak risk-return tradeoff in stock markets.
URI
http://hdl.handle.net/10454/18621
Version
Accepted manuscript
Citation
Wang W (2021) The mean–variance relation: A 24-hour story. Economics Letters. 208: 110053.
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Link to published version
Link to Version of Record
https://doi.org/10.1016/j.econlet.2021.110053
Type
Article
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