The Impact of Macroeconomic Variables on the Relation between Fundamental Variables Derived from Financial Statements and Stock Returns

In this research, in addition to examination of the relation between fundamental variables derived from financial statements and stock returns, we want to detect the impact of macroeconomic variables on this relation. The results show that there is a significant relation between stock returns and composite score which are derived from combination of eight fundamental variables. In next step, we examine the impact of some relevant and important macroeconomic variables on the above relation. The results show that six macroeconomic variables, including stock price index, GDP, gross domestic expenditures, oil revenue, inflation rate and GNP have statistically significant impact on the relation and the others have no significant impact.