Chang, Eric C.; Pinegar, J. Michael; Ravichandran, R. - In: European Financial Management 1 (1995) 2, pp. 173-200
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...