Factor beta, overnight and intraday expected returns in China

Zhengke Ye, Danling Jiang and Yunfeng Luo

Global Finance Journal, 2023, vol. 56, issue C

Abstract: We study the relationship between common factor betas and the expected overnight versus intraday stock returns. Using data from the Chinese A-share markets, we find that the Fama-French five-factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value, and profitability factors earn positive beta premiums overnight and negative premiums intraday, while the size and investment factors' beta premiums behave oppositely. The night and day factor beta premium differentials are more muted among stocks with higher investor sophistication and vary across macroeconomic conditions. The contrasting day and night beta premiums extend to some other common factors and Chinese B shares, and vary their signs for some factors in the U.S. market.

Keywords: Intraday return; Overnight return; Factor beta; Beta premium; Investor clientele (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 G40 G41 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:56:y:2023:i:c:s1044028323000224

DOI: 10.1016/j.gfj.2023.100827

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