This article attempts to test the validity of CAPM (Capital Asset Pricing Model) in Turkey by regressing the weekly risk premiums (rj – rf ) against the beta coefficients of 20 portfolios, each including 10 stocks, over the period of 1995-2004. ISE 100 index and US T-Bill rate, adjusted for the difference between Turkish and US inflation rates were used as the proxies to the market portfolio, and the risk-free
rate respectively. Following an in-depth literature survey, Fama and MacBeth (1973), and Pettengil et. al. (1995) approaches were selected as two alternative methods to be used in the research. Research findings based on Fama&MacBeth
approach indicated no meaningful relationship between beta coefficients and ex-post risk premiums of the selected portfolios. With Pettengill et al. methodology, on the
other hand, strong beta-risk premium relationships were discovered.