Iranian Financial Engineering Association(IFEA) International Journal of Finance & Managerial Accounting 2588-4379 9 35 2024 10 01 Comparative Analysis on Effect of Accounting Data and Macroeconomic Variables in Predicting Stock Returns 249 264 22647 10.30495/ijfma.2023.72901.2007 EN Asieh Farazandehnia PhD student, Department of Accounting, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran Seyed Yousef Ahadi Serkani Department of Accounting, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran Ali Baghani Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran Seyedeh Atefeh Hoseini Department of Accounting, Firoozkooh Branch, Islamic Azad University, Firoozkooh, Iran 0000-0002-8555-754x Journal Article 2023 04 22 The purpose of this research is to analyze the effects of macroeconomic variables on forecasting the stock return. For this purpose, data on 121 firms accepted on the Tehran Stock Exchange during the years 2012 to 2021 have been analyzed using regression model of data with different frequencies (MIDAS), and the relationship between forecasting future performance of stock returns and macroeconomic variables are investigated. The results show that the variables of firm size, intangibles assets, Tobin’s Q, financial leverage, and market to book value ratio have a significant effect in explaining the returns of firms’ stock. The findings show the special attention of investors and creditors to accounting and economic criteria in explaining stock returns, and the continuation of such trend can lead to an increase in the efficiency of the capital market.<br />The findings show the special attention of investors and creditors to accounting and economic criteria in explaining stock returns, and the continuation of such trend can lead to an increase in the efficiency of the capital market. http://www.ijfma.ir/article_22647_3d43cb0230c4f1ab6b9700689a881ec5.pdf