Does systematic risk change when markets close? An analysis using stocks’ beta-Reference-Cited by-同舟云学术

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Does systematic risk change when markets close? An analysis using stocks’ beta

Published:2022-04 Issue: Volume:109 Page:105782
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Insana Alessandra^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference67 articles.

1. Overnight news and daily equity trading risk limits;Ahoniemi;J. Financ. Econom.,2015

2. Overnight returns, daytime reversals, and future stock returns;Akbas;J. Financ. Econ.,2021

3. Beta calculation and robust regression methods: an example from the Istanbul stock exchange;Alp;Int. Res. J. Market. Econ.,2015

4. A framework for exploring the macroeconomic determinants of systematic risk;Andersen;Am. Econ. Rev.,2005

5. Recalcitrant betas: intraday variation in the cross-sectional dispersion of systematic risk;Andersen;Q. Econ.,2021

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Digitalization and firms' systematic risk in China;International Journal of Finance & Economics;2024-01-17

2. Board diversity and systematic risk: evidence from emerging markets;Managerial Finance;2023-06-01

3. Betting against beta with intraday and overnight signals;International Review of Financial Analysis;2023-03

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