This paper reviews an advanced literature on capital asset pricing model. It starts by a brief introduction in welcoming scholars into the model background and its relevant assumptions and implications. It then explains the model in its real form, both the conceptual and the analytical part of it. The CAPM and the Index Model is then clearly looked at and explained in the dimensions of the Index Model and Realized Returns and also the Index Model and the Expected Return-Beta Relationship. The researchers penultimately look at a number of empirical tests for CAPM to explain the validity of the model. Some of the Empirical tests looked at by this paper are the tests by Lintner, which is reproduced in Douglas (1968), Fama and MacBeth (1973), tests by Black, Jensen and Scholes (1972), tests by Stambaugh (1982), tests by Gibbons (1982), Miller and Scholes (1972) tests and the Roll (1977) Critique. The paper finds that, there is strong empirical evidence invalidating the CAPM and on the other hand it is clear that the empirical findings themselves are not sufficient to discard the CAPM. The paper found out further that CAPM cannot be used for estimating the cost of capital, to evaluate the performance of fund managers or as an aid in event-study analysis. For practical purposes, Merton's (1973) intertemporal CAPM or some form of the APT would have to be resorted to for the purpose of explaining expected stock returns.