An Empirical Investigation of the ArbitragePricing Theory by using accounting information

This study the behavior of stock prices, in relation to eight accounting ratio reflects the behavior of earnings. The major objective of this study is to provide evidence that would contribute to the effort of explaining the risk factors in a country that differs substantially from the other countries not only with regards to its full Sharia financial system but also as it relates to its economical and financial sanctions. Iran is a country that defer in it economy as compare to the rest of the world. Iran adopted a Sharia23 based economy and presently under financial and economical sanctions by the world. Our findings reveal a significant relationship between book to market ratio, financial leverage and size factors and expected stock returns in the Iranian market. Moreover, consistent with rational pricing we find that BE/ME is a strong indicator of profitability when measured by for all stocks. Finally, consistent with the other studies we find evidence that stock prices reacted negatively to the financial and economical sanctions.