Investigating the change in the effect of fundamental variables on return in Tehran Stock Exchange

In this study the effect of fundamental variables and size on stock return is considered. The aim of the study is to answer two questions about each variable. The first question is how the effects of variables on the return have changed through time. In order to answer this question, the effect of each variable is considered in three consequential time window: 2004-08, 2009-13, and 2014-18. The second question in on the effects of variables in 2018. The return of the market in this year significantly deviated from historical average and it could be marked as an anomaly. The study aims to investigate how this irregularity affects the association between return and variables. In order to answer to this question, the effect of each variable is considered in two time window: 2004-17, 2004-18. The data in this study consists of price and financial statements listed companies in Tehran Stock exchange from 2004 to 2018 which are analyzed by methods used in Fama and French (1993) and Assadi and Eslami (1393). The results suggest that the effect of some variables has changed through time. The results also have shown that market irregularity in 2018 significantly changed the effect of some variables on stock return.