48

This paper analyzes and tests the relation between stock return and financial statements on a sample of 37 Tunisian firms over a six-year period (1997-2002) and after the adoption of the new national standards. The objective of the study is to detect the accounting and financial variables correlated with returns in a panel data regression model. The results indicate that there is a real relation between financial statements and stock return with an adjusted correlation coefficient of up to 20%. The findings also show that the introduction of some dummy variables to the model can have a positive impact on this relationship by increasing the adjusted correlation coefficient to 37%.