INTRODUCTION Due to the increasing importance of capital markets in small capitalization equip the individual to productive activities, identify variables influencing the behavior of investors and the market price of the stock return is gained (Babaeian and Arab, 2000). It is clear that investing in the stock market is an important part of the economy no doubt, the greatest amount of capital through stock markets around the world will exchange and the national economy is heavily influenced by the performance of the stock market to professional investors and to the public as an investment tool available. Stock markets and other macro-economic parameters and many other variables affected, several of the factors affecting capital markets and their unknown causes uncertainty on investment (Khaloozadeh, 2003). Obviously this is undesirable feature of uncertainty in decision making and also for investors in the stock market this property is inevitable (Hendrickson, 1992) the overall objective of the research hypothesis and research, is to reduce uncertainty, investors are looking for ways to better predict stock returns to get the maximum performance from your investment.