The CAPM requires an estimate of the expected return for the market as a whole which, when compared to the risk-free rate, gives the market risk premium. This is a tricky number to get hold of.
At the end of 2024, Goldman Sachs was forecasting a average 3% annual return for U.S. stocks over the next 10 years. JP Morgan, Blackrock, Schroders, Invesco, Vanguard, and Morgan Stanley were forecasting 10-year returns for public equities between 5.2% and 7.9% with an average expected return of 6.6%.
With the 10-year bond rate of 4.2%, that does not leave much for a reward to equity risk. It these estimates are to be believed, this points to the silliness of a CAPM model: Have equities become so much less risky? In a troubling world, it is hard to agree. But there is another point: Many of the forecasters were saying that their expected returns are low because they see stocks as overpriced, likely to fall. If so, we are all at sea with the CAPM: It assumes markets are efficient, price is value.