Estimating the Effect of Financial and Non-Financial Factors on Stock Returns of Companies Listed on Tehran Stock Exchange

Saeedeh Nasery


This Ability of financial statements to summarize information affecting the stock returns and relation of the company’s valuable information was always considered by managers and investors. In choosing stocks that provide high yield and acceptable risk, investors pay attention to the major factors that can affect their stock’s performance. The study aimed to evaluate the effect of the financial and non-financial factors on stock returns of companies listed on Tehran Stock Exchange during the period 2010-2015. For this purpose, four hypotheses were developed and panel data with the help of Eviews and analysis of variance with the help of SPSS were used to analyze the data. In selecting a sample of 145 companies listed on the Tehran Stock Exchange, except banks, investment companies and financial intermediaries were divided into three groups: manufacturing, intermediate goods and services. 61 companies were placed in manufacturing, 60 in intermediate goods and 24 in service group. The results showed that some financial factors affected the stock return of manufacturing and intermediate companies, so that the relation between ROA and stock returns of the company was negative and the relation between ROE and stock returns was positive and significant for manufacturing companies, but the relation between ROA and stock returns was negative and significant, and other financial factors were not significance for intermediate companies. But in the case of service companies, the relation between stock returns and financial factors was not significant. In conclusion, the results showed that the company activity has a significant different effect on financial factors and stock returns.

Keywords: return on assets, return on equity, net profit margin, stock returns, financial and non-financial factors, panel data

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DOI Prefix: 10.20286