The Relationship between Systematic Risk, Previous Returns and Expected Stock Returns in Iranian Companies

The purpose of this study was to examine the relationship between systematic risk criteria, previous return and expected return of Iranian companies. This study is a library and analytical-causal research and is based on the analysis of panel data. In this research, financial data of 105 firms accepted in Tehran Stock Exchange during the period of 2010-2015 has been investigated. The results of the research regarding the confirmation of the first hypothesis of the research showed that there is a significant and direct relationship between the systemic risk criteria and the previous returns of the firms. Also, according to the analysis done in connection with the confirmation of the second research hypothesis, we concluded that there is a significant and direct relationship between the systematic risk criteria and the expected return of the firms.