Abstract
ABSTRACT Based on all daily A-share data from January 2006 to December 2021, this study examines the relationship between overnight and intraday returns and market beta using Fama-Macbeth regressions and panel regressions to explore the reasons for the weak correlation between systematic risk and full-day returns in the Chinese A-share market. The results show that the overnight risk premium of the Chinese A-share market is significantly negative. The intraday risk premium is negligible when portfolios are sorted by beta, industry and Book-to-Market ratios, and stock characteristics. The slope of the securities market line (SML) tends to zero due to the interaction of the uncertain intraday risk premium and the negative correlation between overnight returns and market risk.
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