The ICAPM is used by some investors to value any and all risky assets on a global basis.
The ICAPM is only valid if international capital markets are integrated.
If international capital markets are segmented, then assets with the same risk characteristics will be priced differently in different national markets.
When barriers to capital market integration cause investors to avoid the balanced world market portfolio, higher allocations will be made to specific countries and specific securities, causing inefficient asset pricing.
This inefficiency makes an argument for active portfolio management.