Although productivity growth is of central importance in economics, its importance in finance remains largely uncharted. Productivity growth is one of the main factors affecting on stock returns that is less discussed. In this paper, the relationship between productivity growth and stock returns of Listed Companies in Tehran Stock Exchange are examined during the years of 2007 to 2012. Time series data are collected Seasonal and are examined by method of Panel Data by E-views software. The results indicate an duality in aggregate level and micro level, So that ,there is a significant negative relationship between market efficiency and productivity growth in aggregate level and a significant positive relationship between firm performance and its productivity growth. But the relationship between each of the company's efficiency and productivity growth at the aggregate level were not found.