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2021-11Author
Wang, WenzhaoRights
© 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
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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.Version
Accepted manuscriptCitation
Wang W (2021) The mean–variance relation: A 24-hour story. Economics Letters. 208: 110053.Link to Version of Record
https://doi.org/10.1016/j.econlet.2021.110053Type
Articleae974a485f413a2113503eed53cd6c53
https://doi.org/10.1016/j.econlet.2021.110053