The relationship between accounting anomalies, risk and return (Case Study: Companies Listed on the Tehran Stock Exchange)

Today, resource owners want to maximize their wealth by choosing between available choices that will give them the most benefit against the least risk. Hence, finding such choices has led to the presentation of various theories and models for predicting risk and return by financial experts and practitioners. The main purpose of this study is to investigate the relationship between accounting anomalies with risk and return. The statistical population of the study includes companies listed on the Tehran Stock Exchange. Accordingly, 115 companies were selected by screening sampling method in the period 2013 to 2020 and the relationships between research variables were analyzed using multivariate regression using panel data. The results of testing the hypotheses showed that there is a positive relationship between risk based on capital asset pricing model (CAPM) and real return. The results also demonstrated that there is a positive relationship between the risk-based accounting approach based on risk measurement (ABRM) and the actual returns. It was also found that there is a positive relationship between CAPM-based returns and actual returns and, in addition between ABRM and actual returns.