European day‐of‐the‐week effects, beta asymmetries and international herding*
研究发现欧洲股市的周内效应不仅体现在平均收益上，也体现在风险上；周一贝塔值更高，尤其在全球市场下跌时。调整贝塔非对称性和持有期后，周内效应显著减弱，支持羊群行为等解释。
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).