CAPM vs ROE

I don't know who told you this (and thy they didn't explain!) What you should really have been told is that is the return given by CAPM is the return that the share should give, whereas the actual return to shareholders is the return that it is current giving. (The ROE is indeed an accounting measure and is at best just an approximation to the return actually being given). If the return given by the equity beta is lower then the current actual return, then in time the actual return will fall to that resulting from the equity beta, and since the MV is the PV of the future receipts discounted at the required rate of the return the MV of the shares will increase.

Correct