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The process of predicting the stock return is considered the main challenge confronting the financial analyst and the investment decision-maker in particular. The objective of the study aims at testing the ability of both CAPM model and APT theory in predicting the stock return. The study investigated a sample of 10 banks listed in the Iraq Stock Exchange for the period (2012-2021). A variety of appropriate statistical and financial means and tools were employed. The study results in many conclusions including the rejection of the study hypotheses and the acceptance of alternative hypotheses based on the analytical results, and then there is a difference in the required rate of return calculated according to each of CAPM model and APT theory as well as the actual return.