This paper uses weekly return data for the period January 1990 through December 1996 for a sample of 224 stocks listed on the main board of Kuala Lumpur Stock Exchange to estimate the Capital Asset Pricing Model, CAPM. Both the Fama and MacBeth (1973) procedure and its refined version by Pettengill, Sundaram and Mathur (1995) are adopted, yielding results that suggest no significant relationship between return and beta.