Asset pricing: A tale of night and day

• 成果类型: Article
• 署名作者: Hendershott, Terrence; Livdan, Dmitry; Rosch, Dominik
• 署名单位: University of California System; University of California Berkeley; State University of New York (SUNY) System; University at Buffalo, SUNY
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.006
• 发表日期: 2020
• 页码: 635-662
• 关键词: Asset pricing; CAPM; risk-free rate; Day-night

摘要

The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is weakly related to 24-h returns. This is because stock prices behave very differently with respect to their sensitivity to beta when markets are open for trading versus when they are closed. Stock returns are positively related to beta overnight, whereas returns are negatively related to beta during the trading day. These day-night relations hold for beta-sorted portfolios and individual stocks in the US and internationally as well as for industry and book-to-market portfolios and cash flow and discount rate beta-sorted portfolios. In addition to the change in slope of returns with respect to beta, the implied risk-free rate differs significantly between night and day. Consistent with this, returns on US Treasury futures differ significantly between night and day. (C) 2020 Elsevier B.V. All rights reserved.