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Just as the “lost city of Atlantis,” the CAPM is empirically invisible most of the time. Yet, recent evidence shows that a strong CAPM relation holds on macroeconomic announcement days. We show that these findings coexist in an economy with asymmetric information. In this context the CAPM relation holds relative to the market consensus—the average beliefs across investors—but fails for the econometrician who does not observe investors’ information nor the market portfolio. On announcement days, when investors learn about macroeconomic factors to which stocks are exposed, fundamental risk better explains variations in asset returns, clearing the “shoal of mud” that stands in the way of the CAPM.