Nowadays the worldwide society is facing a deep financial crisis that is affecting every sector and every field of the economic and financial system and nobody could predict the far-reaching consequences of this slowdown. The starting point of the crisis can be found in the failure of the US system of securitization. The goal of this research is to analyze how the current crisis may have affected some aspects of the financial sector. In particular, it focuses on the validity and reliability of one of the most used model in pricing the assets. This purpose stems from the fact that the crisis brought many changes in the way of approaching to financial markets highlighting anomalies, such as interest rates close to zero. Therefore this study aims to verify the reliability of the CAPM when the risk-free rate approaches the zero level. In order to carry out this research, the authors turn their attention on US, that is actually experiencing a period of risk-free rates close to zero. Since the reference period of zero risk-free rates for US is not so long, the authors also decided to refer the study to Japan, that showed a longer period of risk-free rates close to zero.