The mean–variance relation: A 24-hour story

Wenzhao Wang

Economics Letters, 2021, vol. 208, issue C

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.

Keywords: Mean–variance relation; Overnight return; Risk-return tradeoff (search for similar items in EconPapers)
JEL-codes: G12 G14 G41 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:208:y:2021:i:c:s016517652100330x

DOI: 10.1016/j.econlet.2021.110053

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