Risk & Return are Two Major issues for investors. CAPM is used in order to quantify between Return &Risk. In this Model the only factor affecting "Return" of the Stock is systematic risk (BETA). Other factors exist that affect on the return of the stock. Fama & French introduced Multiple Model by adding to variables BE/ME ratio and firm size as two variables that has a Meaningful effect on Return of the stock.
In this research, three factors "Market" , "Firm size" and BE/ME Ratio are investigated on Return of the stock in Tehran Stock Exchange (T.S.E) Results show that Market factors, size and BE/ME ratio are three significant factor's on T.S.E. And the use of Multiple Factor can better illustrate the decompression of stock Returns.
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