I believe the Zoastrians study the writings of the prophet Daniel, who predicted Jesus’s birth.
It's hard to believe also because I can't imagine why Persian speaking Zoroaster would read Hebrew or even be interested in Judasim. Go figure. Also, how in the world did Zoroaster get a hold of a Bible? Can you think of an alternative on how Zoroaster got hold of the story of Daniel? Travel wasn't so easy in those days, even from Israel up to Persia.