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dc.contributor.authorWang, Wenzhao
dc.date.accessioned2021-10-07T13:43:26Z
dc.date.accessioned2021-10-18T08:47:12Z
dc.date.available2021-10-07T13:43:26Z
dc.date.available2021-10-18T08:47:12Z
dc.date.issued2021-11
dc.identifier.citationWang W (2021) The mean–variance relation: A 24-hour story. Economics Letters. 208: 110053.en_US
dc.identifier.urihttp://hdl.handle.net/10454/18621
dc.descriptionYesen_US
dc.description.abstractThis 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.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.econlet.2021.110053en_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.subjectMean-variance relationen_US
dc.subjectOvernight returnen_US
dc.subjectRisk-return tradeoffen_US
dc.titleThe mean–variance relation: A 24-hour storyen_US
dc.status.refereedYesen_US
dc.date.Accepted2021-08-24
dc.date.application2021-08-26
dc.typeArticleen_US
dc.date.EndofEmbargo2023-02-26
dc.type.versionAccepted manuscripten_US
dc.description.publicnotesThe full-text of this article will be released for public view at the end of the publisher embargo on 26 Feb 2023.en_US
dc.date.updated2021-10-07T13:43:27Z
refterms.dateFOA2021-10-18T08:50:46Z
dc.openaccess.statusGreenen_US


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