You have probably heard that risky stocks should give higher returns to make up for that risk. The most famous model linking risk and expected return is the Capital Asset Pricing Model (CAPM), and its key idea is market beta. But when we test beta with real stock data, something surprising happens: the relationship it predicts often disappears – or even goes the wrong way. In this chapter, we look at how beta is measured, the practical problems that distort it, and the evidence that makes us rethink the simple risk‑and‑return story.