Return and risk related to it is one of the most essential and important factors in attracting investment in particular industry. The ongoing study aims to focus on risk and stock return, and to indicate if there is a relationship between them. Therefore, the research population consists of 41 firms listed in Tehran Stock Exchange (TSE) during 2002 to 2011 and Linear Regression Model is also employed to analyze the research hypotheses. Finally, Student’s Ttest is used to verify the nullhypothesis at 0.05 level of significance and consequently, a correlation was found between variables and research hypotheses are accepted.
risk, stock return, systematic risk index
