Abstract

Stock return is an important measure in investors' financial decisions, so the aim of this study is to demonstrate collection of variables which have the most correlation with stock returns and act important role in predicting it. For this end, measures affecting future stock returns was classified into six groups including financial statements, disclosure quality, corporate governance mechanisms, audit quality, stock market qualification and macroeconomic items and the relations between these items and future stock return was tested.
The sample consists of 86 listed companies on Tehran Stock Exchange’s information during 2003 to 2014 and study methods are correlation analysis, confirmatory factor analysis and path analysis.
Findings showed that selecting groups through historical studies is done true and there are significant relations between those items and future stock return. In Other Words, net income, operating cash flows, dividend and accruals (from financial statements group), family ownership and public ownership (from corporate governance group), reliability and timeliness score (from disclosure group), auditor tenure and auditor speciality (from audit quality group), firm size and liquidity (from securities market group) and changes in dollar price, gold coin, oil, inflation and mosharekat interest rate (from economic items) have significant relations with future stock return.