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The mean–variance relation: A 24-hour story

Wang, Wenzhao



This paper investigates the mean–variance relation during different time periods within trading days. We reveal that there is a positive mean–variance relation when the stock market is closed (i.e., overnight), but the positive relation is distorted when the market is open (i.e., intraday). The evidence offers a new explanation for the weak risk-return tradeoff in stock markets.


Wang, W. (2021). The mean–variance relation: A 24-hour story. Economics Letters, 208,

Journal Article Type Article
Acceptance Date Aug 24, 2021
Online Publication Date Aug 26, 2021
Publication Date 2021-11
Deposit Date Mar 9, 2022
Journal Economics Letters
Print ISSN 0165-1765
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 208
Article Number 110053
Keywords Mean–variance relation, Overnight return, Risk-return tradeoff
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