Abstract
Asset pricing model is one of the most fundamental studies in the field of finance. The simple CAPM model introduced in 1960s aims to relate the return of stocks and portfolios to the beta, which represents these assets level of risk. It has covered a long distance, so the paper conducts a test on it based on the data of Japanese and US stock market to see whether its still accurate. The data is from January 2020 to December 2022 and 72 cross-sectional regression equations was calculated. The results of the test indicate that the CAPM is not applicable in Japan but still precise in US. And it can help the investors and other financial researchers to have an overview about the stock market in these two countries and their market index. The paper also suggests that people who invest in financial markets should not only rely on the basic CAPM model but also take other factors into account.
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