It is of great significance to identify the variables affecting stock return and its price in the emerging markets. According to CAPM, Beta is the only variable capable of predicting the return. The recent studies demonstrate that there exist other variables which outperform stock return predictability potential of the Beta. Included among such variables are the size, debt-to-equity, book-to-market, earnings-to-price and sale-to-price ratios. The present research was aimed at testing the above variables and Beta for the prediction of stock return in order to recognize the variables which are better capable of predicting the stock return in Tehran Stock Exchange (TSE). Independent variables were tested against the dependant variable (return) on an annual basis for the years 1997-2003. Further, multi-variable models were tested, both annually and pooled cross-sectionally. In single variable tests, a significant relationship was observed between the stock return and sale-to-price ratio, earnings-to-price ratio and size (stock market value) in 4 consecutive years. The book-to-market ratio demonstrated great dispersion in results. However, since the results of different years varied greatly, no stable relationship was observed between Beta and stock return as predicted in the CAPM model. Further, no relation was observed between debt-to-equity ratio and the stock return. Considering the potential effect of statistical models on the findings, complementary tests were carried out in portfolio level based on Beta and book-to-market ratio variables. Three portfolios were formed taking into consideration the magnitude of each variable. The findings of these tests substantiated that, in the years 2000, 2002 and 2003, portfolios with higher Beta proved to have higher return compared to the ones with lower Beta. With respect to the portfolios formed on the basis of book-to-market ratio, the findings proved compatible with the regression models.This study will contribute and add to the sum of accounting and financial knowledge in two ways: (1) the theories formulated and the models applied in developed countries are capable of application in the emerging markets as well; and (2) the accounting information prepared in conformity with the national standards will prove useful.