Stats › Intraday and market microstructure › Beta flips overnight
High beta stocks are paid overnight and penalised during the day, in 40 countries
| Weighting and period | Intercept | t | Beta slope | t | Average fit |
|---|---|---|---|---|---|
| Equal weighted, night | -0.052 | -8.16 | +0.121 | 13.39 | 39.65% |
| Equal weighted, day | +0.169 | 18.91 | -0.135 | -8.68 | 45.58% |
| Value weighted, night | -0.008 | -1.44 | +0.064 | 7.77 | 41.67% |
| Value weighted, day | +0.152 | 15.15 | -0.077 | -5.52 | 39.41% |
Cross sectional regressions of returns on market beta, estimated separately for the 17.5 hour close to open period and the 6.5 hour session, on US stocks from 1992 to 2016. The sign of the beta premium is positive at night and negative during the day under both weightings, with every one of the eight t statistics outside plus or minus 1.4.
The cross sectional price of market beta is positive overnight and negative in the session. The pattern holds in the United States with t statistics of 13.39 and minus 8.68, and replicates across 39 other countries.
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