Reference-Day Risk: Observations and Extensions

Our paper confirms and extends the central result of Acker and Duck (2007) on reference-day risk. Using data from Datastream, they show substantial variations in the estimated monthly returns, variances, and betas across series beginning on different (reference) days of the same month. We show that the results are similar when we use data from the Center for Research in Security Prices daily files. We also show that reference-day risk extends to estimations based on daily returns. Finally, we find variations across series of daily returns computed using prices at different times of the day (reference-time risk). These findings carry potential implications for prior papers that rely on monthly or daily returns for analysis.