出版社：University of Tehran Electronic Journals Database
摘要：Because of the heterogeneity in behavior, in the real world prices may deviate substantially and persistently from their fundamental values. Of course, if these heterogeneous elements play a rather minor role then asset prices and rates of return will be determined mainly by economic fundamentals and rational behavior. By observing actual behavior in the stock market one can seek to isolate profitable trading opportunities which persist for some time. This evidence is referred to as stock market anomalies. In this paper, nonparametric bootstrapping procedure is used to analysis average monthly seasonality returns. Evidence suggests several explanations for abnormal returns during 2000: M3 to 2010:M2. Tax-loss Selling, Window dressing anomalies explain the existence of these distinct patterns of returns. Also, existence of those calendar seasonalities as the most important financial market anomalies is often promoted as a conflict with the efficient market hypothesis.
