Abstarct: This study is to investigate the relationship between liquidity and return on shares of listed companies in Tehran Stock Exchange during the years 1391 to 1395. To examine this relationship, we use the regression estimation method includes two independent variables (surplus market returns and stock liquidity). To measure the liquidity of the two criteria a simple up-down predictor and the criterion of Corwin and Schultz are used. According to these criteria, we conclude liquidity affect meaningful stock returns.