Abstract: Company returns is one of the important information in economic decisions which serves as an incentive for investors. As a result it is important to identify factors affects it. The aim of present study was to evaluate the impact of new liquidity indicators on the predictability of stock returns of companies listed on the Tehran Stock Exchange. This study is applied, descriptive-survey research and the relationship between the variables is causal. In present study, panel data was used to estimate the model. The research methodology is ex post facto (through the use of past information). The hypothesis of this study was going to investigate the effect of a comprehensive index of liquidity, net cash balances, compliance procedures of current debt and receivables maturities cash conversion cycle, Lambda method and adjusted cash conversion cycle index on predictability of stock returns of companies listed on Tehran Stock Exchange. In current research the statistical tests, correlation and multiple regression and tests t were used. The research population was consisted of companies listed on Tehran Stock Exchange (635 companies) and sample size was 125 and sampling method was removal. Statistical Software (Eviews) was used to test hypothesis. The results showed that comprehensive index of liquidity net cash balances, compliance procedures of current debt and receivables maturities, cash conversion cycle, Lambda method (to calculate liquidity) and the adjusted cash conversion cycle has a significant impact on the predictability stock return of companies listed on the stock exchange.