A study conducted by Eugene Fama, who is credited with the "efficient markets theory" which made the CAPM possible, and Kenneth French in the early 1990s resulted in
a) further evidence in support of beta and it's general acceptance
b) affirming much of what is referred to as "modern portfolio theory"
c) serious questions regarding the usefulness of "beta"
d) strong evidence that markets are not semi-strong form efficient
e) (c) and (d)