The article explores if there are predictable patterns in stock market returns based on the month of the year on the Macedonian Stock Exchange. By analyzing the data, the researchers found that there is indeed a month-of-the-year effect, with returns being significantly lower in November. This suggests that investors could potentially make abnormal returns by forecasting these predictable movements in asset prices. The study used statistical models like ANOVA and regression analysis to reach these conclusions, shedding light on how seasonality can impact stock market efficiency in emerging markets like Macedonia.