SSRN-The Capital Asset Pricing Model: Theory and Evidence by Eugene Fama, Kenneth French
Fama and French provide a great review and discussion of CAPM with all of its limitations. Why is it used in class? Great model. Main problem? It doesn't work! Paper should be (and was in my class) required reading.
oh, and yes I know this has been included in a past newsletter, but it was so good I figured everyone should see it.