Rahmani Ali, Sheri.S , Tajvidi. E (2006) this research aimed at studying the relationship between accounting cross-sectional data of a seven year period of 1997-2003 applying the multi-variable model. The model proved statistically significant with respect to (β), S/P and the Size (Market Value). To test hypotheses 2-7, single variable model was applied. In no year was there a significant relationship between D/E and the Stock Return, while the relationship between the Size, E/P, S/P and the Stock Return proved more stable compared to other variables. Similar findings were observed during four years between the above variables and the Stock Return. The relationship between (β), BV/MV and the Stock Return was significant in three years, though the findings were dispersed. The predictability of single variable models, which registered 16.3% under the best circumstances with respect to the relationship between E/P and the Stock Return in 1997, measured less than that of multi-variable model. The predictability of the yearly multi-variable models measured greater than that of multi-yearly cross-sectional models: one potential reason for this being the changes in macro circumstances affecting Iranian economy. Further, due to the instability in the relationship between each one of the variables and the Debt, one should not place great emphasis on some variables. The items put on the financial statements including Sale, Book Value, Equity and Earning may partially predict the Stock Return. Such findings may be justified on the basis of Behavioral Finance Theories. 15 Novice investors may affect the prices in the emerging markets and accordingly fluctuations in the Stock Return may partially be attributed to the behavior of such investors.
Anderson. K. (2005) the price-earnings effect has been thoroughly documented and widely studied around the world.