You could discuss with your supervisor to clarify this topic. Besides, I suggest you read the CAPM-related chapters from:
(1) Keith Cuthbertson, Quantitative Financial Economics;
(2) Carol Alexander, Market Models;
(3) Ernst R. Berndt, The Practice of Econometrics: Classic and Contemporary;

These chapters involves empirical study, with remarks on how it applies to the reality.

THEORY 头痛！！！！