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This study examines the relationship between the returns of two value and growth portfolios and the return of market on 15 selected firms on Tehran Stock Exchange over the period [2008][2009][2010][2011]. The study divides the firms into two groups in terms of the ratios of price on earning as well as price on book value into two groups of value and growth portfolios. Using some regression analysis, the study has determined a positive and meaningful relationship between value portfolio and market return when the market is on the upside but this relationship is not meaningful during the bear session. The results indicate that during the bull sessions, value portfolios provide better investment opportunities than growth ones do.

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