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Keywords: Overnight return
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2020) 28 (4): 209–227.
Published: 04 November 2020
... 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...
