A0822
Title: Daily, intraday and overnight betas
Authors: Alessandra Insana - University of Messina (Italy) [presenting]
Abstract: There are substantial differences between daily intraday and overnight betas. Dividing the total daily return in intraday and overnight return, we evaluate our three betas by two models. We start considering the classical Capital Asset Pricing Model (CAPM), assuming a constant systematic risk, and so a constant and unconditional beta over time. Then, we apply a nonparametric method for time varying conditional betas. For the analysis, we use US stocks traded on the NYSE, AMEX, and NASDAQ markets, computing our three betas considering single stocks and aggregating them in portfolios by market capitalization. As benchmark for the market index, we estimate a specific value weighted index related to each period.
