The aim of this study is to investigate the factors affecting the return on assets, particularly liquidity risk. In this study, given the importance of the relationship between risk and shareholder value, capital assets standard pricing models (CAPM) and the capital asset pricing adjustment (A-CAPM) to evaluate the effect of liquidity risk on stock returns for the period when Tehran Stock Exchange from 1385 to 1390 was examined. For this purpose liquidity risk analysis into three parts, and the effect of each of these aspects of liquidity risk on stock returns of the results of the study show that the coefficient of determination than the CAPM model A-CAPM standard. This pattern reflects the impact 1β covariance between liquidity risk and market liquidity risk is the expected return of the share. Factor 2β, shows the effect of the covariance between the returns on the expected return sheet securities and illiquidity market share and 3β shows the relationship between covariance sheet illiquidity of securities with market returns on expected return contribution. The results of this study show the significant risks and 3β 1β is estimated coefficients of respectively 57/10 and 94/3 are indicative 1β bigger impact than is 3β