In this study, CAPM model with the approach of multi factorial and in up and down conditions has been tested in association with return.
The current research, using cross-sectional regression model, examines the ability of return to explain by beta, size, and ratio of book value to market value and leverage variables in up and down conditions of capital market in Iran (a conditional relationship). In this study, the method of the research is descriptive- regression and theoretical method of collecting the data is librarian and the data are obtained from the Exchange and reports of the companies.
The results of research conducted indicate, under non-conditional situations of the market, significant relationship exists between stock returns and beta and size. But in the down market, the relationship exists between stock returns and beta, size and ratio of book value to market value. In the up market, this relationship exists between stock returns and beta, ratio of book value to market value and market leverage.