European day‐of‐the‐week effects, beta asymmetries and international herding*

Eric C. Chang, J. Michael Pinegar and R. Ravichandran

European Financial Management, 1995, vol. 1, issue 2, 173-200

Abstract: European equity markets with the most robust day‐of‐the‐week effects in mean returns also exhibit day‐of‐the‐week effects in risk. Betas measured relative to a world index are higher on Monday than on other days of the week, especially when returns on the world market are negative. After adjustments for beta asymmetries and for weekend vs weekday holding period horizons, day‐of‐the‐week effects in residual risk and risk‐adjusted mean returns weaken substantially compared to such effects measured with constant betas. These findings are consistent with the recent work of King and Wadhwani (1990), Froot et al. (1992) and Lakonishok and Maberly (1990).

Date: 1995
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