The main objective of this study is to test the asymmetric risk pricing and compare the effect of asymmetric risk measures and traditional measures of risk on expected return is to explain the volatility anomaly. For this purpose, a sample of 101 companies listed in Tehran Stock Exchange during the period from 1381 to 1392 is selected. To test the effectiveness of traditional and asymmetric measures of risk on expected returns is used the Fama- Macbeth (1973) model and portfolio analysis approach. The results is show a positive and significant effect traditional measures (Standard Deviation and Semi-Standard Deviation) and asymmetric risk (Value at Risk parameteric and HR) on the expected return. The results also indicate that the control factors effect such as financial leverage, firm size, book value to market value, liquidity, reverse and momentum is not to change the positive relationship between different measures of risk and expected return.