CAPM verification using overnight and daytime returnsCAPM verification using overnight and daytime returns
- Other Titles
- CAPM verification using overnight and daytime returns
- Authors
- 강대진; 김수현
- Issue Date
- Dec-2020
- Publisher
- 한국파생상품학회
- Keywords
- CAPM; Beta; Systematic risk; Daytime return; Overnight return
- Citation
- 선물연구, v.28, no.4, pp.209 - 227
- Journal Title
- 선물연구
- Volume
- 28
- Number
- 4
- Start Page
- 209
- End Page
- 227
- URI
- http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/40066
- DOI
- 10.1108/JDQS-05-2020-0010
- ISSN
- 1229-988X
- Abstract
- Purpose – 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.
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Collections - College of Business Administration > School of Business Administration > 1. Journal Articles
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