The Capital Asset Pricing Model, or CAPM, describes the relationship between risk and expected return and is used in the pricing of risky securities. The paper tests the CAPM for the Indian stock market using Black Jensen Scholes methodology. The sample involves 87 stocks included in the Nifty and Nifty Junior indices from 1st Jan 2005 to Aug 2014. The test was based on the time series regressions of excess portfolio return on excess market return. The results shows CAPM partially holds in Indian markets.