Wang, Wenzhao2021-10-072021-10-182021-10-072021-10-182021-11Wang W (2021) The mean–variance relation: A 24-hour story. Economics Letters. 208: 110053.RMSID:212638626http://hdl.handle.net/10454/18621YesThis 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© 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/)Mean-variance relationOvernight returnRisk-return tradeoffArticlehttps://doi.org/10.1016/j.econlet.2021.1100532021-10-07