The main purpose of this paper is to investigate the effective factors of share selection in 84 companies of Tehran Exchange Stock Market over the years 2006-2010. For this aim, the factor analysis and analytical hierarchy process (AHP) methods have been used for determining and ranking of effective variables. The empirical results of this paper indicate that earnings trend, dividend earning trend, dividend per share, earning per share ratio, profit margin‚ operating income ratio to sale, rate of equity return ratio‚ rate of return assets are the main determinants of share selection in the companies of Tehran Exchange Stock Market. Moreover, there is a positive and significant relationship between these variables and the rate of return in 84 companies of Tehran Exchange Stock Market.