A survey of the Capital Asset Pricing Model — its theoretical logic and its empirical record. Fama and French lay out the CAPM's appeal (a single market beta measures risk, and expected return is linear in beta), then argue its empirical record is poor enough to invalidate the way it is used in applications. They trace the accumulation of anomalies — size, book-to-market (value), leverage, momentum — that market betas fail to explain, discuss Roll's critique that the true market portfolio is unobservable, and use the evidence to motivate multifactor alternatives (including their own three-factor model).
"The attraction of the CAPM is that it offers powerful and intuitively pleasing predictions about how to measure risk and the relation between expected return and risk. Unfortunately, the empirical record of the model is poor — poor enough to invalidate the way it is used in applications."
The value of this piece is that two of the CAPM's most effective critics wrote its clearest, fairest obituary for a general audience — it is the standard citation for "the CAPM is elegant but empirically broken." It is careful to separate the two possible causes of failure (the model is wrong vs. the model is untestable à la Roll), which keeps it honest: the anomalies are real, but the market-proxy problem means the rejections are never quite clean. On the wiki it is the empirical counterweight to the theoretical CAPM page and the direct on-ramp to Fama-French factors and the factor zoo that followed. Read cynically, it is also the authors clearing the ground for their own three-factor model; read charitably, it is the field's most-cited admission that a beautiful theory lost to the data.