The Effect of Market Anomalies on the Inefficiency of Stock Returns

Mehran Ansari; Hojat Jafari

doi:doi:10.11648/j.ajtab.20200603.12

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The Effect of Market Anomalies on the Inefficiency of Stock Returns

Mehran Ansari, Hojat Jafari

Published in American Journal of Theoretical and Applied Business (Volume 6, Issue 3)

Received: 2 July 2020 Accepted: 18 August 2020 Published: 16 September 2020

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Abstract

This paper serves the purpose to analyses market anomalies and their agents on returns in the Iranian indexes between 2017 and 2020. Principled patterns in financial market are incompatible to the efficient market hypothesis, as stock market returns can be done applying these systematic models. Real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. Well timed actions of investors prices of stocks directly adapt to the new information, and give thought to all the available information. So no investor can chastise the market by generating abnormal returns. The model period is 2017 to 2020 to represent the continuity of the monthly result. This scholarship put upon the advantageous sampling procedure, also known as the judgmental sampling technique, of weekly returns from Iranian indexes and major world indexes based on specific criteria. The demodulations offer an abnormal month of the year outcome stand in some Iranian indexes during the research duration. The vehemence of month of the year anomalies lessens with time. The investigation also illustrate that month of the year factors are more unremitting between indexes with smaller market capitalization.

Published in	American Journal of Theoretical and Applied Business (Volume 6, Issue 3)
DOI	10.11648/j.ajtab.20200603.12
Page(s)	23-27
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2020. Published by Science Publishing Group

Keywords

Real Investors, Month of the Year Effect, Return, Market Anomalies

References

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APA Style

Mehran Ansari, Hojat Jafari. (2020). The Effect of Market Anomalies on the Inefficiency of Stock Returns. American Journal of Theoretical and Applied Business, 6(3), 23-27. https://doi.org/10.11648/j.ajtab.20200603.12

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ACS Style

Mehran Ansari; Hojat Jafari. The Effect of Market Anomalies on the Inefficiency of Stock Returns. Am. J. Theor. Appl. Bus. 2020, 6(3), 23-27. doi: 10.11648/j.ajtab.20200603.12

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AMA Style

Mehran Ansari, Hojat Jafari. The Effect of Market Anomalies on the Inefficiency of Stock Returns. Am J Theor Appl Bus. 2020;6(3):23-27. doi: 10.11648/j.ajtab.20200603.12

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@article{10.11648/j.ajtab.20200603.12,
  author = {Mehran Ansari and Hojat Jafari},
  title = {The Effect of Market Anomalies on the Inefficiency of Stock Returns},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {6},
  number = {3},
  pages = {23-27},
  doi = {10.11648/j.ajtab.20200603.12},
  url = {https://doi.org/10.11648/j.ajtab.20200603.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20200603.12},
  abstract = {This paper serves the purpose to analyses market anomalies and their agents on returns in the Iranian indexes between 2017 and 2020. Principled patterns in financial market are incompatible to the efficient market hypothesis, as stock market returns can be done applying these systematic models. Real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. Well timed actions of investors prices of stocks directly adapt to the new information, and give thought to all the available information. So no investor can chastise the market by generating abnormal returns. The model period is 2017 to 2020 to represent the continuity of the monthly result. This scholarship put upon the advantageous sampling procedure, also known as the judgmental sampling technique, of weekly returns from Iranian indexes and major world indexes based on specific criteria. The demodulations offer an abnormal month of the year outcome stand in some Iranian indexes during the research duration. The vehemence of month of the year anomalies lessens with time. The investigation also illustrate that month of the year factors are more unremitting between indexes with smaller market capitalization.},
 year = {2020}
}

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TY - JOUR
T1 - The Effect of Market Anomalies on the Inefficiency of Stock Returns
AU - Mehran Ansari
AU - Hojat Jafari
Y1 - 2020/09/16
PY - 2020
N1 - https://doi.org/10.11648/j.ajtab.20200603.12
DO - 10.11648/j.ajtab.20200603.12
T2 - American Journal of Theoretical and Applied Business
JF - American Journal of Theoretical and Applied Business
JO - American Journal of Theoretical and Applied Business
SP - 23
EP - 27
PB - Science Publishing Group
SN - 2469-7842
UR - https://doi.org/10.11648/j.ajtab.20200603.12
AB - This paper serves the purpose to analyses market anomalies and their agents on returns in the Iranian indexes between 2017 and 2020. Principled patterns in financial market are incompatible to the efficient market hypothesis, as stock market returns can be done applying these systematic models. Real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. Well timed actions of investors prices of stocks directly adapt to the new information, and give thought to all the available information. So no investor can chastise the market by generating abnormal returns. The model period is 2017 to 2020 to represent the continuity of the monthly result. This scholarship put upon the advantageous sampling procedure, also known as the judgmental sampling technique, of weekly returns from Iranian indexes and major world indexes based on specific criteria. The demodulations offer an abnormal month of the year outcome stand in some Iranian indexes during the research duration. The vehemence of month of the year anomalies lessens with time. The investigation also illustrate that month of the year factors are more unremitting between indexes with smaller market capitalization.
VL - 6
IS - 3
ER -

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Author Information

Mehran Ansari

Faculty of Management and Accounting, Tehran University, Tehran, Iran
Hojat Jafari

Abadan Faculty of Petroleum Engineering, Petroleum University of Technology, Abadan, Iran

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APA Style

Mehran Ansari, Hojat Jafari. (2020). The Effect of Market Anomalies on the Inefficiency of Stock Returns. American Journal of Theoretical and Applied Business, 6(3), 23-27. https://doi.org/10.11648/j.ajtab.20200603.12

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ACS Style

Mehran Ansari; Hojat Jafari. The Effect of Market Anomalies on the Inefficiency of Stock Returns. Am. J. Theor. Appl. Bus. 2020, 6(3), 23-27. doi: 10.11648/j.ajtab.20200603.12

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AMA Style

Mehran Ansari, Hojat Jafari. The Effect of Market Anomalies on the Inefficiency of Stock Returns. Am J Theor Appl Bus. 2020;6(3):23-27. doi: 10.11648/j.ajtab.20200603.12

Copy | Download

@article{10.11648/j.ajtab.20200603.12,
  author = {Mehran Ansari and Hojat Jafari},
  title = {The Effect of Market Anomalies on the Inefficiency of Stock Returns},
  journal = {American Journal of Theoretical and Applied Business},
  volume = {6},
  number = {3},
  pages = {23-27},
  doi = {10.11648/j.ajtab.20200603.12},
  url = {https://doi.org/10.11648/j.ajtab.20200603.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtab.20200603.12},
  abstract = {This paper serves the purpose to analyses market anomalies and their agents on returns in the Iranian indexes between 2017 and 2020. Principled patterns in financial market are incompatible to the efficient market hypothesis, as stock market returns can be done applying these systematic models. Real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. Well timed actions of investors prices of stocks directly adapt to the new information, and give thought to all the available information. So no investor can chastise the market by generating abnormal returns. The model period is 2017 to 2020 to represent the continuity of the monthly result. This scholarship put upon the advantageous sampling procedure, also known as the judgmental sampling technique, of weekly returns from Iranian indexes and major world indexes based on specific criteria. The demodulations offer an abnormal month of the year outcome stand in some Iranian indexes during the research duration. The vehemence of month of the year anomalies lessens with time. The investigation also illustrate that month of the year factors are more unremitting between indexes with smaller market capitalization.},
 year = {2020}
}

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