Recent studies show that individual investors tend to speculate on stock markets and hold shares with a lottery-like return. For this speculation of people have a significant impact on stock returns, individual investors must trade the same shares with the same time. The purpose of this study was to investigate the effect of the speculative bubble on the stock returns of companies in Iran. Following the design of the speculative bubble specification indexes, the transaction information was collected from the stock market in the five-year period from 2011 to 2015 and a sample of 106 companies was selected by systematic elimination method, which totaled 530 year-company. In this research, linear regression and correlation analysis were used to analyze the hypotheses of the research. To analyze the data and test the hypotheses, Eviews software was used. What can be said in the summing-up and conclusion of the general test of research hypotheses is that there is a speculative bubble in the Tehran Stock Exchange index. In addition, the speculative bubble has an impact on stock returns, and this effect has been confirmed in conditions of market boom and downswing. The results obtained in this study are consistent with the documents referred to in the theoretical framework of the research and financial literature.