The relation between market risk and asset returns can be modeled with the Security Market Line (SML), a positive linear relation between expected excess asset returns and the asset’s beta. Pettengill et al (1995) make the case that tests of beta must be conditioned upon excess market returns to obtain meaningful results. This study proceeds from and extends the work of Pettengill et al (1995) and in the process introduces the notion of the Security Market Plane (SMP). The SMP is a conditional relation between expected excess asset returns, beta and realized excess market returns and is derived directly from the market model. Econometric testing on equities traded at the Australian Securities Exchange (ASX) based on a model motivated by the SMP offers strong evidence of the relevance of beta to asset returns. The analysis does not reject the hypothesis that factors other than the market portfolio may be relevant to excess portfolio returns.