Test of Return Model and Price Model in the Tehran Stock Exchange Using BalancedPanel

One of the main objectives of financial statements is to provide relevant information for investors, so relation between stock prices and accounting variables has been a focusof many researchers. In this study for investigatingthe value relevance of accounting information, stock return and stock price models is used. The sample contains 48 companies listed in Tehran Stock Exchange from 1379 to 1387. In this study, balanced panel data model is used that variables integrated from time series and cross-sectional data. Price model estimation results shows that earnings per share have more value relevance than book value. Return model estimation results show that changes in earnings per share to price per share ratio compared to earnings per share to price per share ratio has less value relevance. In other words, the role of accounting informationis important in determining rate of return and stock prices and improvesinvestors’ and other accounting information usersdecision making.