The capital asset pricing model tracks the relationship between risk and expected return. It asserts that the return on an asset is equal to the risk-free rate plus a risk premium. The risk premium is the stock's beta multiplied by the difference between the market rate of return and the risk-free rate. The risk free rate is usually that of short dated government bonds.

See also: http://www-personal.umich.edu/~kathrynd/JEP.FamaandFrench.pdf