Research Output
The mean–variance relation: A 24-hour story
  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.

  • Type:

    Article

  • Date:

    26 August 2021

  • Publication Status:

    Published

  • Publisher

    Elsevier BV

  • DOI:

    10.1016/j.econlet.2021.110053

  • Cross Ref:

    10.1016/j.econlet.2021.110053

  • ISSN:

    0165-1765

  • Funders:

    Historic Funder (pre-Worktribe)

Citation

Wang, W. (2021). The mean–variance relation: A 24-hour story. Economics Letters, 208, https://doi.org/10.1016/j.econlet.2021.110053

Authors

Keywords

Mean–variance relation, Overnight return, Risk-return tradeoff

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