*Accounting Departments, Islamic Azad University, Parsabad Branch, Parsabad, Iran
**Management Departments, Islamic Azad University, Parsabad Branch, Parsabad, Iran
***Accounting Departments, Islamic Azad University, Germi Branch, Germi, Iran
1This Research paper was funded by grant from the Islamic Azad University Parsabad Moghan Branch submitted to the authors
Capital asset pricing model is one of the most practical methods for anticipating the stock return. According to this model BETA as a systematic risk criterion, is the only variable capable to anticipating the return. Researches on the ability of this model for anticipating and its use of other variables in Iran and other countries lead to the interesting result indicated variables other than BETA which have better ability to anticipating the stock return. These variables are the firm size, stock liquidity and idiosyncratic volatility.In this research the relation between the BETA and other mentioned variables investigated in a period of five years since 2006 to 2010 in Tehran stock market.Using the Eviews software, the outcome information from the firms tested according to the multi variable regression model and under the (OLS) method, and showed that firm size and idiosyncratic volatility are of variables with the ability to anticipate the stock return in the firms accepted in Iran stock market too. And BETA variable in case of controlling the liquidity effect has the ability to explain the return. And also liquidity variable is shown to be in no significant relation with the average of return.
BETA, firm size, liquidity, idiosyncratic volatility, stock return
