| Summary: | In order to extend the financial literature and the need to update the existing knowledge, this study is dedicated to examining one of the newest topics of financial management, namely behavioural financial knowledge that deals with capital market behaviour and behavioural aspects of capital market psychology. One of the interesting topics in this area is calendar effects, which draws attention to heterogeneities in market behaviour and performance at different times of the day, week, month and year. The issue studied in this research is the relationship between the days of the week, including the categories of periodic or calendar effects on stock returns, and claims that there is a variable return on different days of the week, in which developing strategies on these patterns can lead to extra profit returns. To achieve this goal, two hypotheses have been developed and tested by selecting 60 companies from among the companies listed on the Tehran Stock Exchange during a three-year period, from 2014 to 2016. The method of the present research is empirical in terms of purpose and descriptive-correlation in terms of nature. Combined regression models and panel data are used to test the hypotheses. The results show there is no significant relationship between calendar events, with stock returns except Tuesday's that has a significant effect significant on the return estimates.
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