Beattie et al, 1994; Leuz, 2003 expressed the view that based on the use of earnings management by a company, influenced by the characteristics of the business environment in the country where the company operates. In countries with developed capital markets, the corporate structure of a distributed (decentralized), this powerful law firms, investors and power laws tend to reduce the policies of the earnings management. Jun, Sang et al, 2002 study examines the relationship between liquidity and stock returns. In this study, the relationship between liquidity and stock returns using time series analysis were examined. Results indicate a significant positive relationship between stock returns and liquidity ratios.