Manapon Limkriangkrai

May 23, 2024 | onlinelibrary.wiley.com | Philip Gray |Manapon Limkriangkrai |Wenyuan Xu |Ltd. Shenzhen Guangdong

1 INTRODUCTION Since the development of the capital asset pricing model (Sharpe, 1964), modern finance theory has asserted that the cross-sectional variation in stock returns is attributable to differences in how stocks load on risk factors. Alas, nearly 60 years later, risk factors that are grounded in theory, well defined and readily observable remain elusive.