An analysis on the calendar role of different days of the week in stock return anomalies
Evaluate the calendar effects of different days of the week on the inefficiencies of stock returns
Subject Areas : Financial Knowledge of Securities Analysis
hossein Abdi 1 , Hossein Jabbari 2 , Hassan Ghodrati 3
1 - PhD Student, Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran
2 - Assistant Professor, Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran. (Corresponding Author)
3 - Assistant Professor, Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran
Keywords: Performance anomalies, price bubbles, falling prices, investment, calendar effects.,
Abstract :
Abstract Since the abnormal returns on securities are based on these cross-sectional relationships, they cannot be explained by existing theories and are often referred to as stock returns. The purpose of this study was to evaluate the calendar effects of different days of the week on the abnormal returns of stocks. Based on this, the performance data of the companies listed on the Tehran Stock Exchange and the daily or monthly return on shares in the 10-year period ending on March 2019 have been collected. The following are the abnormalities in stock returns affected by calendar effects (specifically the effects of Nowruz, a specific day of the week, and specific effects on the month). Based on the use of conventional regression patterns, Garc, T-Garc, and E. Garc, empirical evidence showed that there is no strategy based on calendar anomalies that can market the market if the adjusted price-based adjusted return is used as the transaction cost. It has failed and brought unconventional benefits to voters with such strategies.
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