(TOM. Downloaded from cs.shahed.ac.ir at 22:40 IRDT on Friday March 22nd Management and Achievement. *

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1 TOM 2 *1 :.1.2 * jsadeghi46@yahoo.com 1 2 " "... 3 TOM ). ( " " " " F t TOM... ) (TOM. 4. ROM TOM. ROM TOM : 1. Behavioral Finance 2. Seasonal effect 3. Turn of the month 4. Rest of the month Management and Achievement 87/7/23 : 88/1/19 : Scientific-Research Journal of Shahed University Eighteenth Year No Jun.Jul

2 TOM CAPM EMH. " "..(7) : CAPM. 1. January effect 2. Within Month effect 3. week day effect 4. holiday effect " ". ". " " " " " " ".(1) " " - -. " " ""...(2) " ".... BV/MV P/E 322

3 ..(3) 3 2 (199 ) (1991). (199) 4 ""..(6) TOM (199) (TOM) (8) (1987). TOM (8) 2. Liquidity 3. Earnings announcements 4. Selling losers 5. Principal payments 6. Short term investable funds CAPM. "". EMH CAPM.(7) MPT (1994) 1 EMH..(9).. (1987). (199) (199) (199). 19.(3) TOM ). (+3. (1976) (1976) (1966) 1. Abnormal return 323

4 TOM S&P5.(8) (1996) TOM (4) : ( ) ".1 " " " ".2 " " " (1987) 2 (-1 ) 3 ( -3 3 ) (LH) (FH)..(3) (LH) (1988) (-1 ).. 6 (1988) NYSE 3 (DJIA) FH 1 LH TOM ) TOM DIJA. (ROM Monthly effect 2. Day Nov 3 to Dec First Half 5. Last Half 6. Possible data-snooping bias 7. Index of 3 major NYSE company stock 324

5 ) ( : TOM ROM.2.. " "". "... :. ". " :.. ( ).... ) ( ( ). ".3 "" " " " " " :. ) ) ( ( Trading month 325

6 TOM T. F. :T H : µ 1 = µ 2 H 1: µ 1 µ 2 T. : T ) :µ 1 ( ) :µ 2. ( T ) :µ 1 ( ) :µ 2. ( T ( ) :µ 1 ( ) :µ 2. T ( ) :µ 1 ( ) :µ : ( ) :.( ) ( ) ( ) :.1.2 ROM TOM : I - I R t t -1 t = I t I t t-1 I t -1. t.2.. : :F 2 2 H : σ 1 = σ H 1: σ 1 σ 1 9 F

7 ) : α (ROM TOM TOM : I t. ROM β ROM TOM. I t. ROM TOM TOM TOM β β.. TOM : T 16. T 16 : (+4-1 )TOM. ROM TOM TOM. : R t = α + β * It + ε :.1 sig. t,15 1,44,6,657,445,12,56 1,916,9,744 -,326 -,2,9,13,18 -,3 sig. F,531,392,19,21,249 1,331,8,8,256 1,295,35,34,795,67,15,17.2 sig.,416,755,33,832 t,815,314 1,39 -,212,56 1,5,82 -,16,84 1,15 1,66 -,26 sig.,852,64,994,421 F,35 3,555,655 5,51 1,28 1,71 4,7 6,1 1,95 11, 3,46 327

8 TOM.3 sig. t,95 1,673,1,564,557,17,4 2,54,12,781 -,278,3,14,18,22,2 sig.,434,965,343,941 F,614,2,91,5,19,9,35,13,21,7,38,15.4 sig.,322,692,28,988 t,993,398 1,9 -,15,95 1,54 1,1,25 1,3 1,67 2,4,25. : sig.,936,746,884,194 F,6,16,21 1,721 5,95 1,92 11,39 3,97 6,46 1,63 12,84 3, t ( ) µ 2 185,315,519, ,643,184, ,2,978, ,932,191, ( ) µ 1 174,539,989, ,772,749, ,36,531, ,8,69, F (. ) 77,8,369,416,17 5,72,436,59,114 97,487,869,18,163 95,966,846,82,67 (. ) 12,669,429,2,999 3,953,519,683, ,959,138,749, ,66,896,359,

9 t ( ) µ 2 1,667,839,634, ,788,832,3.18 2,332,89,,. 2,312,389,264,75.88 ( ) µ 1 1,57,859,727,3.24 F (. ) 2,541,99,629,22,82 24,954,687, ,312,387,678,983 2,349,327,575, ,53,773,361,33,27 2,16,78,176, ,528,23,514,898,3 (. ) 3,232,867,29,678,41 4,576,988,177,262 5,449,47,82,892,78 1,75,12,185,478, t µ 2 37,548, ,826, ,194, ,679, µ 1 33,269, ,689, ,332, ,948, F (. ) 4,413,348,859,79,81 81,825,128,281,127 3,64,782,635,988,57 8,61,583,562,39,5 (. ) 3,244,524,547,97,3 112,63,184,993,18 1,11,999,178,322,4 6,865,679,875,816, t µ 2 337,932, ,438, ,752, ,115, µ 1 299,428, ,28, ,988, ,538,49.6. : F (. ) 19,219,669,77,77, 1,512,744,994,413,3 57,992,93,286,758,9 112,478,691,524,122, (. ) 87,389,78,153,847,6 1,238,347,279,337,86 42,76,329,364,278,5 94,546,43,1,831,5. F. 329

10 TOM,538,793,375,74 t,615,263,887 -,33,33,541,318,383 t,974 -,61,999,872.9,27 t 7,725 1,21 5,631-1,26 R i = β + ε R i = β + ε R i = β + ε R i = (- 1. ) β + ε (),14,6,48 -,1 ( ),84,122,152 -,2.1,31 t 11,1 14,76 6,639 1,35.. ) (TOM... ROM TOM R i = β + ε R i = (- 2. ) β + ε R i = β + ε R i = β + ε (),23 -,2,55,28 ( ),129,19,184,16 TOM TOM. ROM 9,14 TOM,23 TOM

11 . TOM (199).3 TOM (TOM)...(8).... TOM TOM. TOM 8 (1996).1 6 TOM. (FH) 76,24 TOM.(5) 52,48 FH. TOM... TOM (1991) (1987).2.(8). 331

12 TOM, Bachelor thesis in economics, Jonkoping International Business School, Jonkoping University. 5. Gopal.N, (26), "The significance of the turn of the month effect: revisited", project of Master of Business Administration, in the faculty of Business Administration, Simon Fraser University. 6. Holden.K, Thompson.J, Ruangrit.Y, (25), "The Asian crisis and calendar effects on stock returns in Thailand", European Journal of operational Reasearch, no.163, pp Jensen.M.C, (1987), "Some anomalous evidence regarding market efficiency", Journal of financial Economics, Vol.6, pp Pham.B, (25), "A monthly effect in stock returns: revisited", project of Master of Business Administration, in the faculty of Business Administration, Simon Fraser University. 9. Schwert.G.W, (23), "Anomalies and market efficiency", notebook of the economics or finance, vol.1, pp " (1383). 17. " " (1383) " Ariel.R, (1986), "A monthly effect in stock returns", Journal of Financial Economics, no.18, pp Davidson.M, (26), "Stock market anomalies"