Abstarct: Playing an important role in asset allocating, Stock Market gains lots of attention and tries to move caught funds in to producing industries. There have been many researches about forecasting stock return with different economic indicators. The models which designed for forecasting stock return, such as single factor and multi factor ones, where all linear. During the time researchers have found that the stock return behavior follows chaos theory and it is not linear, so soft computing and data mining techniques have been being started to be popular. The most important point for investors is finding the stock return behavior rules for deciding in more certainty environment and determining the appropriate time for buying and selling stocks. So using data mining techniques could be very helpful in this region. In this research The Rough Set Theory is being used. This method uses historical data for finding rules, and predicts the future behavior with those rules. Whats more the liquidity of the stock is being measured by means of fuzzy rough set theory and Adjusted Iliiquidity Amihud Measure