The Investigation of Effective Factors on Stock Return with Emphasis on ROA and ROE Ratios in Tehran stock exchange (TSE)

Abstract

The stock returns in the capital market are affected by good or bad news received from companies. Recognizing its importance based its efficiency on shares is one the concerns of capital investors and researchers. The aim of this research is investigating the news and information obtained from companies’ financial reports of those accepted in Tehran stock exchange (TSE) in financial ratio form and finding the effects of these ratios shares returns. To do this, the financial data of 120 accepted manufacturing companies for time period of 2003 to 2008 was used. The research hypotheses were tested via multivariable regression patterns and delaying variable models at two general and separated by industry levels. Hypotheses tests results show that, at general level, ROA and ROE ratios are effective on stock return, but financial leverage has no significant effect. In the separated by industry level, the results of financial ratios on stock returns are different for each industry that indicate their independency.

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