Spanish Abstract: El CAPM es un modelo absurdo porque sus hipotesis y sus conclusiones/predicciones son opuestas a la realidad (describen “un mundo” que no es el nuestro). La hipotesis mas extravagante es que los inversores tienen expectativas homogeneas (todos esperan la misma rentabilidad y la misma volatilidad de todas las acciones) y la prediccion mas contraria a la realidad es que la cartera de renta variable de todos los inversores es identica en su composicion: todas las acciones del mercado (“el mercado”). Es imposible determinar “la prima de riesgo del mercado” y “la beta de mercado de una empresa” porque tales numeros no existen debido a las heterogeneas expectativas de los inversores. De la hipotesis absurda de “expectativas homogeneas”, se derivan otros absurdos que se muestran en el apartado 3. Y si se aplica parcialmente surge la esquizofrenia del apartado 4. English Abstract: The CAPM is obviously contrary to common sense. The assumptions are senseless and the conclusions are untrue. It is an enormous error to use the historical beta as a proxy for the expected beta. First, because it is almost impossible to calculate a meaningful beta because historical betas change dramatically from one day to the next; second, because very often we cannot say with a relevant statistical confidence that the beta of one company is smaller or bigger than the beta of another; third, because historical betas do not make much sense in many cases: high-risk companies very often have smaller historical betas than low-risk companies; fourth, because historical betas depend very much on which index we use to calculate them.