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Asset pricing and a tale of night and day: Evidence from Taiwan

Author

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  • Chang, Hui-Wen
  • Tseng, Shiang-Ting
  • Yang, Nien-Tzu

Abstract

Hendershott et al. (2020) propose that investors' risk attitude varies toward intraday and overnight periods, effectuating a positive relation between market beta and stock returns overnight, that is reversed significantly during daytime trading sessions. Leveraging Taiwan stock market's important features of high retail investors' trading and non-trading regulation during overnight sessions, we hypothesize that the opposite beta–return relationship between intraday and overnight periods is prevalent in this market. Our comprehensive analyses confirm this prediction. Furthermore, we establish the overcorrection argument based on daytime reversals as a plausible explanation for the divergent beta–return relationship. Finally, we explore other pricing factors to understand whether and how they are priced and robustly evince that the value, profitability, and investment factors are priced overnight, while the size factor is priced during daytime sessions.

Suggested Citation

  • Chang, Hui-Wen & Tseng, Shiang-Ting & Yang, Nien-Tzu, 2026. "Asset pricing and a tale of night and day: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 95(C).
    • Handle: RePEc:eee:pacfin:v:95:y:2026:i:c:s0927538x25003403
    DOI: 10.1016/j.pacfin.2025.103003
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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