AbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose More
AbstractCalendar anomalies are the cyclical patterns which cannot be explained byfundamental factors in stock returns. One of the most important anomalies is the Monthseffect of year that their discovery is the opposite of market efficiency theory. Therefore,the purpose of this article is the examination of stock Anomalies monthly in Tehran Stockmarket in the period 1998-2012 through moving block bootstrap method and Percentileconfidence intervals.The conclusion shows that Farvardin returns average has the positive, significant andhighest return. Accordingly, the liquidity effect and Window Dressing theory could be anexplanation to positive returns in the period 1998-2012.
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Economy condition and equity market could highly affect on risk aversion and equity premium. This paper therefore, intends to combine economy regimes and equity market in the framework of Sensitivity functions by using fuzzy variables in order to develop the Consumption More
Economy condition and equity market could highly affect on risk aversion and equity premium. This paper therefore, intends to combine economy regimes and equity market in the framework of Sensitivity functions by using fuzzy variables in order to develop the Consumption Capital Asset Pricing in habit formation model. This model through the producing some extra resources for risk premium will be differently a help to resolve equity premium puzzle.The results, gathered from using the model in Iran data seasonally in the period 1371-1393, present that the trend in risk aversion and equity premium is counter-cyclically of economic. Indeed the period of recession will make an increase in risk aversion and equity premium consequently. This means that investors are intended to take risk only in lieu of high level of compensation and they also intend to allocate their funds into more certain fields such as bank deposits in this situation .While good news in the period of boom in economy will decrease risk aversion and equity premium consequently. Results also present that the increasing and decreasing regimes of market in combination with economic regimes have effect on the intensity of these phenomena
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This paper propounds to examine the day of the week effect on the returns of dailystock price entire index, in Tehran Stock Exchange market during 1383 to 1388.Various approaches have been presented for investigation about calendar effects onstock returns. We apply " Fu More
This paper propounds to examine the day of the week effect on the returns of dailystock price entire index, in Tehran Stock Exchange market during 1383 to 1388.Various approaches have been presented for investigation about calendar effects onstock returns. We apply " Fuzzy regression with triangular membership function".This approach's base is, the fuzzification of the dummy variables through fuzzy logic.In fact, fuzzy logic regression enables us to capture the impression and nonlinearitiesin finance and human behavior which are main characteristics in finance industry andfurthermore, avoids the classification of dummy variables to values of one and zero, aswe do in the traditional statistical and econometric methodology. The paper concludesthat using fuzzy regression will lead to a positive effect on the returns on Sunday andnegative returns on Tuesday
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