Risk management practices of financial institutions play a significant role in financial stability and thereby strengthen the confidence of stakeholders. The purpose of this study is to examine the impact of banks' risk management capabilities on stock returns. Four basic risk management capability measures are used for this purpose. The data from the financial reports of eight listed commercial banks for the period from 2006 to 2018are used for the analysis. The Du Pont analysis of ROE calculation is used to identify four risk management variables such as interest rate risk management, bank income diversification, credit risk management, and solvency risk management. The standard market model is estimated using two different regressions as regression 01 and regression 02 to capture the impact of firm size (control variable) on the whole model. The findings of regression 01 and regression 02 reveal that market return ( and income diversification (NNIM) are significant to predict bank stock returns. However, Interest rate risk management capability (NETIM) credit risk management capability (PROV), solvency risk management capability are insignificant variables under both models. The impact of firm size on the whole model is also insignificant and there is an insignificant positive relationship between bank stock returns and firm size (TA). Therefore, Bank managers can employ effective strategies to increase non-interest income hence it contributes to generate a higher return for the shareholders. Therefore, the study suggests shareholders purchase the stocks of banks which have increased non-interest income and to aware of the market index changes to increase their returns.