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.

Fluctuations in stock returns and the factors that affect them are controversial in financial research. Institutional investors, as a group of investors, play an important role in the economic development of the capital market through their access to huge financial resources. But 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. The present study aims to find evidence for the relationship between real investors in open volatility of ten stocks. Few studies of financial market irregularities and the behavior of capital market investors have focused on the results. By challenging the efficient market hypothesis, it is clear that real investors raise the stock price of companies that have been successful over time. The real price and the price of unsuccessful stocks are lower than the real price, but over time the market realizes its mistake and the prices return to equilibrium. Acceptance of stock returns is irregular (Tehran Stock Exchange). In order to achieve the research goal, ten-year information (2009-2019) of 140 companies by judicial sampling method was studied. This research is applied in terms of purpose and testing the hypotheses of logit and cross-sectional regression. Fama and French three-factor model and Carhart's four-factor model were used. The results indicate that the relationship between stock price jump and real investors has been explained and finally practical suggestions have been provided.