The Analysis of Relationship Between Size, BE/ME Ratio and Expected Return Separately and Altogether: An Empirical Study Based on Iran Data

In modern world, financial industry has a major influence on human’s life. Most of people invest their money on equity market and they expect more return in compare of other markets. Stock market is one of the most attractive markets among equity markets which, because of high return, people tend to invest their money there. In stock market, there are a lot of variables which influence on expected return, and we want to discuss on some of them in different situations. Company size and the ratio of book value to market value of equity (BE/ME) are considered as major variables which we examine their effects separately in one side and integrated as SMB and HML in the other side. In this paper, for this study, we monitor market data of 100 companies in Tehran Stock Exchange and analyze effects of those variables on expected return from share of these companies.