The Capital Asset Pricing Model (CAPM) is often used to estimate the required rate of return of energy utilities in regulatory cases. This paper investigates the appropriateness of this choice in light of the large body of work questioning the empirical validity of the model. We find that the CAPM significantly underestimates the cost of equity of Canadian and American energy utilities compare to its historical value. Our results also indicate that multifactor models are better specified than the CAPM for estimating their cost of equity.