The research examines the Capital Asset Pricing Model (CAPM) in Damascus Stock Exchange (DSE), by using the monthly excess returns of (8) companies listed in (DSE), for the period of (2010-2013), and the monthly excess return of (DSE) index (DWX) for the same period. The researcher concluded that there is a significant relation between the volatility of the market excess return and the volatility of the excess returns of stocks of the examined companies, But the researcher also concluded that (CAPM) is not valid in (DSE), because of the failure in the statistical test. That the constant of the regression equation is not equal to zero and the slope of the security market line is not equal to the average excess return of the stocks of examined companies. The researcher recommended that this study should be retested when there are a suitable number of listed companies in order to form portfolios that can diversify away the effect of the unsystematic risk of each company, and to retest the CAPM after the crises, because the average excess returns for all of the examined companies were negative. Finally, the researcher recommended trying other models of asset pricing such as Arbitrage Pricing Theory (APT), and (Fama) Multifactor Model.