Investors should consider the risk and expected return of the investment while making an investment decision. In addition, the investor wants to determine whether the value of the financial asset is higher or lower than the required value. In line with these requirements, investors may turn to Capital Asset Pricing Model, which establishes a linear relationship between the risk and expected return of an asset and provides a quantitative method for the valuation of financial assets. The aim of this study is to evaluate the stocks in the BIST Dividend 25 Index with the help of CAPM using monthly data between 01.01.2013 - 31.08.2023 and to determine the relationship between the portfolio created from the stocks in the index and the market risk premium. The study's findings indicate that, with the exception of AEFES, EKGYO, SAHOL, and TTKOM, the stocks are undervalued. Moreover, there is a statistically significant positive relationship between the market risk premium and the portfolio that was created. An increase in the market risk premium has a positive effect on the portfolio. Therefore, a decrease in the risk-free interest rate and an increase in the expected return of the market index, which is accepted as the benchmark index, may lead to an increase in the shares in the Dividend 25 Index. As a result, while making investment decisions, investors will be able to prefer stocks appropriate to their risk levels by taking into account the estimated beta coefficients. Investors should also consider the risk-free interest rate and market index in their investment decisions. In addition, investors will be able to take the appropriate position in cheap and expensive stocks found with the help of alpha values.