Results of Fama–MacBeth regression analysis
| Dependent variable | Equal weighting | Value weighting | ||||
|---|---|---|---|---|---|---|
| Intercept | Slope | Ave. R2[%] | Intercept | Slope | Ave. R2[%] | |
| Daytime return | 0.029*** (6.879) | −0.037*** (−8.546) | 32.427 | 0.044*** (7.893) | −0.043*** (−7.492) | 27.221 |
| Overnight return | −0.018*** (−5.838) | 0.032*** (10.641) | 32.931 | −0.039*** (−11.860) | 0.044*** (13.617) | 29.906 |
| Dependent variable | Equal weighting | Value weighting | ||||
|---|---|---|---|---|---|---|
| Intercept | Slope | Ave. | Intercept | Slope | Ave. | |
| Daytime return | 0.029*** (6.879) | −0.037*** (−8.546) | 32.427 | 0.044*** (7.893) | −0.043*** (−7.492) | 27.221 |
| Overnight return | −0.018*** (−5.838) | 0.032*** (10.641) | 32.931 | −0.039*** (−11.860) | 0.044*** (13.617) | 29.906 |
Note:
In total, 166 data points from January 2006 to October 2019 are used and for Table 5’s beta calculation, a regression analysis is performed using the return in the past 60 months; ***indicate 1% significance level, respectively
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