Relationship Between Risk and Common Stock Return in CML and CAPM

The present research aims to an overview of risk return in stock market. CML, CAPM & other model are the most common models analysis the relationship between Risk & Return. The population of the study was 40 common stock; from USA, UK, Egypt & Saudi Arabia; During the period from January 1990 to September 2013. Finally, the study found that total risk explains (50.6%) of common stock return at the 1% level of significance, but this explanation cannot found for return from systematic risk that measured Estimate beta coefficient according to (CAPM), so the study has accept (CML), rejection (CAPM), The study found need to develop (CAPM) by new methodology; It will Change the basis of Estimate beta coefficient; we suggest by relying on economic growth as the basis for estimating beta coefficient rather than market indices