The mean–variance relation: A 24-hour story
| dc.contributor.author | Wang, Wenzhao | |
| dc.date.accessioned | 2021-10-07T13:43:26Z | |
| dc.date.accessioned | 2021-10-18T08:47:12Z | |
| dc.date.available | 2021-10-07T13:43:26Z | |
| dc.date.available | 2021-10-18T08:47:12Z | |
| dc.date.issued | 2021-11 | |
| dc.identifier.citation | Wang W (2021) The mean–variance relation: A 24-hour story. Economics Letters. 208: 110053. | en_US |
| dc.identifier.uri | http://hdl.handle.net/10454/18621 | |
| dc.description | Yes | en_US |
| dc.description.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. | en_US |
| dc.language.iso | en | en_US |
| dc.relation.isreferencedby | https://doi.org/10.1016/j.econlet.2021.110053 | en_US |
| dc.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/) | en_US |
| dc.subject | Mean-variance relation | en_US |
| dc.subject | Overnight return | en_US |
| dc.subject | Risk-return tradeoff | en_US |
| dc.title | The mean–variance relation: A 24-hour story | en_US |
| dc.status.refereed | Yes | en_US |
| dc.date.Accepted | 2021-08-24 | |
| dc.date.application | 2021-08-26 | |
| dc.type | Article | en_US |
| dc.type.version | Accepted manuscript | en_US |
| dc.date.updated | 2021-10-07T13:43:27Z | |
| refterms.dateFOA | 2021-10-18T08:50:46Z | |
| dc.openaccess.status | openAccess | en_US |
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