Table 3. Future one-month return by... | Emerald Publishing

Table 3.

Future one-month return by portfolio

Portfolio	P1	P2	P3	P4		P5		P6	P7		P8	P9	P10
A. Based on portfolio daily beta
Return	0.181	1.038	1.391	1.403		1.244		1.456	0.990		1.187	1.191	0.797
Daytime return	−0.234	0.519	0.338	−0.045		−0.273		−0.373	−0.943		−1.093	−1.314	−2.308
Overnight return	0.678	0.738	1.253	1.633		1.669		1.971	2.099		2.373	2.566	3.124
B. Based on daytime portfolio beta
Return	0.411	1.163	1.240	1.347	1.270		1.417			1.233	1.081	0.937	0.780
Daytime return	−0.073	0.373	0.137	0.080	−0.222		−0.359			−0.751	−0.940	−1.447	−2.523
Overnight return	0.739	1.017	1.275	1.449	1.676		1.914			2.117	2.120	2.450	3.346
C. Based on portfolio overnight beta
Return	0.654	1.059	1.105	1.321	1.291		1.232			1.294	1.423	1.085	0.414
Daytime return	0.541	0.640	0.195	−0.111	−0.144		−0.508			−0.887	−0.756	−1.579	−3.120
Overnight return	0.413	0.658	1.100	1.558	1.602		1.856			2.313	2.264	2.730	3.610

Portfolio	P1	P2	P3	P4		P5		P6	P7		P8	P9	P10
A. Based on portfolio daily beta
Return	0.181	1.038	1.391	1.403		1.244		1.456	0.990		1.187	1.191	0.797
Daytime return	−0.234	0.519	0.338	−0.045		−0.273		−0.373	−0.943		−1.093	−1.314	−2.308
Overnight return	0.678	0.738	1.253	1.633		1.669		1.971	2.099		2.373	2.566	3.124
B. Based on daytime portfolio beta
Return	0.411	1.163	1.240	1.347	1.270		1.417			1.233	1.081	0.937	0.780
Daytime return	−0.073	0.373	0.137	0.080	−0.222		−0.359			−0.751	−0.940	−1.447	−2.523
Overnight return	0.739	1.017	1.275	1.449	1.676		1.914			2.117	2.120	2.450	3.346
C. Based on portfolio overnight beta
Return	0.654	1.059	1.105	1.321	1.291		1.232			1.294	1.423	1.085	0.414
Daytime return	0.541	0.640	0.195	−0.111	−0.144		−0.508			−0.887	−0.756	−1.579	−3.120
Overnight return	0.413	0.658	1.100	1.558	1.602		1.856			2.313	2.264	2.730	3.610

Note:

The portfolio’s indicated values are calculated by averaging the 226 data collected on the reference date (end of each month) from January 2001 to October 2019 (Unit in %)