This paper deals with the forecast of stock returns examined from two different viewpoints. On the one hand we try to find if the returns of stocks traded in the Athens Stock Exchange, can be predicted by the fundamentals of the relative companies; on the other hand, we try to capture in a model any relationship among the returns of stocks belonging to the same group of companies. Thus, the study is divided in two different sections. Section 1 deals with the predictability of fundamentals, while section 2 deals with the patterns among the affiliates in the same group of companies.