Abstract: The purpose of this study is to determine whether the actual returns on stocks are deferent from or close to the required returns relative to the level of risk calculated by the CAPM so that, the investors could actively manage their portfolios and hence, identify the overpriced or underpriced stocks or to assist in predicting market trends. To analyze this relationship, actual and required returns of a sample of 40 stocks from among 220 stocks listed is Amman Stock Exchange-ASE (first and second markets) were selected and analyzed, this sample represents all ASE market sectors for the period (2000-2016). Results showed that required returns of stocks are positively correlated to the systematic risk expressed by beta coefficients before and after 2008 the beginning of world financial crisis (to avoid the adverse effect of financial crisis on returns), negative co-relation of actual returns of stocks with beta coefficients and negative correlation of actual returns with required returns. So, relying on CAPM, the investors could not get benefit from this variation in returns and could not predict the mispriced stocks and then no capital gain will be obtained on this basis. This conclusion due to the fact that the stock market in Jordan is emerging market and is highly affected by rumors.