This paper presents an empirical investigation to study the effects of quality of earnings forecasts in predicting stock returns on 121 selected firms traded on Tehran Stock Exchange over the period [2009][2010][2011][2012][2013]. The study investigates the effects of three year means of earnings forecast accuracy on investors' investment decisions in terms of volume and time horizon, i.e. short term and long term investment sentiment. Using some regression analysis, the study has determined a positive and meaningful relationship between the quality of earnings forecast and investment time horizon. However, the study did not find any meaningful relationship between earnings forecast accuracy and volume of investment.Growing Science Ltd. All rights reserved. 5

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