Investigation of the Relation between Financial and Non-financial Information and Stock Returns in Tehran Stock Exchange

This paper investigates the relationship between stock returns and financial and non-financial information, such as operating income, net Income, dividends, cash flows, industry effects, price-earnings ratios, and earnings growth in companies listed in Tehran Stock Exchange (TSE). The testing period is from 1378 to 1387. We use cross sectional data for investigate trends and use pooled data for investigate the relationship between stock returns and financial and non-financial information. The results show that operating earnings, net income and earnings growth have the most explanatory power in determinant stock return. Similar to the findings of western studies, our study shows that earnings data is key information for investors. Also, our findings indicate that cash flows, industry effects, and price-earnings ratios are relatively less important information to the market.