투자자 심리가 주간과 야간의 위험-수익률 관계에 미치는 영향

Purpose - This study investigates how the risk-return relation varies across different trading periods— specifically intraday (open-to-close) and overnight (close-to-open)—and to examine how investor sentiment moderates this relationship in the U.S. stock market. Design/methodology/approach - The authors decompose monthly S&P 500 returns during the period from 1992 to 2023 into intraday and overnight returns and estimate the conditional variance using GARCH, GJR-GARCH, and MIDAS models. They incorporate the Consumer Confidence Index(CCI) as a proxy for investor sentiment and to evaluate its influence on the risk–return relation across different time periods. Findings - The overall risk–return trade-off is inconsistent with classical theories, according to the findings of a weak or even negative relationship during intraday. However, a strong and positive risk –return relationship is observed in overnight returns, particularly under low investor sentiment periods. This suggests that investor sentiment significantly moderates the risk-return relation, especially in overnight trading. Research implications or Originality - The study contributes to finance literature by showing that decomposing returns by trading hours and accounting for sentiment yields more nuanced insights into the risk–return trade-off. It highlights the value of incorporating behavioral factors and time segmentation into traditional models.