the aim of this paper is to show the importance of key variables of financial statements in Predicting Stock Return by Fundamental Analysis Strategy. Eleven fundamental signals have been chosen based on their predictive ability with respect to returns. These signals are: inventory, accounts receivable, investments, gross Margin, return on assets, variation in return on assets, cash flow, accruals, leverage, liquidity, assets turnover. Sample period is 1378 to 1389. Stocks at each fiscal year of the, are assigned given fundamental scores (F-Score) in two portfolios: A low F-Score portfolio and a high F-Score portfolio. Returns are calculated from the fifth month of next year to fifteen months after that. Results of Spearman’s correlation show that the F_Score, inventory and asset turn over variables have positive and statistically significant correlations with future returns. However, investments variable has a negative correlation. T-student test shows that Buy and Hold Return Mean (BHR) of the high F-Score portfolio is greater than BHR Mean of the low F-Score portfolio. Therefore, we could have a positive return by Fundamental Analysis Strategy.
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