Abstract: As it were, there is no clear cut understanding of the belief on the predictive power of CAPM as enunciated by Sharpe supported by Lintner and Mossin with particular reference to Nigerian Stock Exchange (NSE) stocks. In the light of this assertion, the objective of this study is to apply CAPM on the NSE sector stocks from 2000-2012. Being an empirical study, secondary dataset collected from the financial statements of the subject-firms, NSE/CBN was used. The study concludes that the CAPM is not a good predictor of stock return in the selected sectors of the NSE.