The Capital Asset Pricing Model (CAPM) argues that only systematic risk should be priced in the market; Specific or idiosyncratic risk does not deserve a risk premium. However recent empirical studies have raised serious challenges to this belief. It appears that ? as a measure of systematic risk, has little power in explaining cross- sectional risk and return relationships over long periods of time, while other variables such as Firm Size and Book to market ratio, appear to be more useful risk proxies. this patterns is named anomalies. Anomalies are empirical results that seem to be inconsistent with maintained theories of asset- pricing behavior. They indicate either market inefficiency or inadequacies in the underlying asset- pricing model. Sales growth rate and z- score are the best indicators in measuring profitability and balance sheet strength. in this paper, we use z- score and sales growth to distinguish this anomalies, exist in Tehran stock exchange with applying the time-series regressions. according to result of statistical examinations, they don’t have as strong explanatory power in explaining Tehran stock exchange.
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