The paper considers the famous capital market asset pricing model CAPM, whose authors were awarded the Nobel Prize in 1990, from the point of view of methodology. The model is analysed from two perspectives: positive and normative. The authors seek to prove that neither approach can fully account for the popularity of the model. The CAPM does not capture the reality of capital markets. Neither does it provide valuable practical guidelines for investment in securities. Its popularity seems to stem from sociological and psychological factors rather than its practical or scientific value.

The science of finance calls for new methodology, which would acknowledge cognitive mistakes made by market players. This methodology should focus on accurate explanation rather than precise forecasting.