The Capital Asset Pricing Model (CAPM) introduced by Jack Treynor, William Sharpe, John Lintner and Jan Mossin in 1972[2] is an important method for predicting risk and return in assets. Nowadays, CAPM is still widely used in applications as it is a simple and attractive tool. However, it presents problems in many circumstances and we need other extensive and available models to evaluate the risk and return of assets. We know that the CAPM is a model used to price a single stock or portfolio based on many rigorous assumptions. There is no doubt that it provides a simple model since there are many assumptions [9]. Although it is a main tool used to analyze the securities market, its problems are very significant. To analyze these issues, we first compare the CAPM model with the APT model. Unlike the CAPM, the number of hypotheses in the APT is smaller than that of the CAPM[6]. But it has more estimators than CAPM which can be seen from the following formula: R=RF+ (R1-RF)×β1+(R2-RF)× β2 +(R3-RF)×β3+…(RK-RF)×βkIn this equation, β1 represents the beta of the first factor, β2 represents the beta of the second factor and so on. The factors can be GNP, inflation, interest rate of systematic risk[7]. Unlike the CAPM, we can see from the equation that the APT has many betas with respect to systematic risk factors. However, we only need to estimate one beta in the CAPM. And it can be clearly shown by the following equation: R=RF+ β×(RM-RF) The β in the CAPM is a parameter that plays an important role in modern finance as a means of estimating the risk of assets. Given the definition of beta in the book Modern Financial Management[9], we know that beta here means the responsiveness of the stock r...... middle of paper......, The Journal of finance, 51, pp. 1947-1958.[4] KC John Wei. An Asset-Pricing Theory Unifying the CAPM and APT, The Journal of Finance, 43, pp. 881-893.[5] Nai Fu Chen, Richard Roll, Stephen Ross. Economic Forces and the Stock Market, The Journal of Finance, 59, pp. 383-403.[6] SA Ross. Asset Price Arbitrage Theory, Journal of Economic Theory, 1976.[7] Stephen A. Ross, Randolph W. Westerfield, Jeffrey F. Jaffe, and Bradford D. Jordan. Modern Financial Management, pp. 333.[8] Sanford J. Grossman and Joseph E. Stiglitz. Competitive information and pricing systems, The American Economic Review, pp. 246-253.[9] Stephen A. Ross, Randolph W. Westerfield, Jeffrey F. Jaffe, and Bradford D. Jordan. Modern Financial Management, pp. 307-309;341.[10] Xharles Kramer. Macroeconomic seasonality and the January effect, The Journal of business, 49, pp. 1883-1891.