The results of empirical tests of the capital asset pricing model (CAPM) are discussed in this paper. A formidable problem here involves setting up an effective method for testing or test methodology. Many conceptual and statistical problems are inherent in tests of capital asset pricing model. It always has to be concerned the possible contaminating effects of the inevitable real-world violations of the model’s assumption. The tests reported in this paper are tests of how well the model fits history. The purpose of this work is to determine whether the CAPM fits the real world and, if it does not, to determine the source and size of the discrepancies between the model and the world. The data of Lithuanian firm’s stocks are used in order to test the model. The asset market of Lithuania is young and unstable. Thus the results are not the best. But recently situation is getting better. It will be shown in this paper that capital asset pricing model could be tested with real data of Lithuanian stock market. The results are quite good. Microsoft Visual Basic 6.3 equipment is used to solve this problem.