Identifying the Effect of Selected Financial Variables on Stock Return in

This study examines the claim that adjusted profit based variables are superior measures than earning per share (EPS) on the basis of stock return. In this paper، four hypotheses are set to test the research question and a sample of companies listed in Tehran Stock Exchange (TSE) for the time period of 2002-2008 is used. For hypotheses testing، single variable regression model presented. In this study free cash flow، cash flow return on investment، economic value added and earnings per share are independent variables. Also stock return is considered as a depended variable. To estimate the regression model panel data regression is used. The results show that performance evaluation indexes are not significantly related with stock returns. Also the results show that EPS، as a traditional performance evaluation measure، is yet superior to others measure. Collectively، results are ambiguous and do not provide strong evidence that show superiority of the three above mentioned measures to EPS for evaluating of firm performance.