Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337222 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 28 [Issue:] 4 [Year:] 2020 [Pages:] 209-227
Publisher: 
Emerald, Leeds
Abstract: 
The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with three different beta calculations, namely, daily, overnight and daytime returns. The study concludes that beta on overnight returns has the strongest explanatory power and is statistically significant.
Subjects: 
CAPM
Beta
Systematic risk
Daytime return
Overnight return
JEL: 
G11
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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