In addition, many researchers believe that other risk factors have significant impact on expected returns in the market. As a result, the simplicity of the CAPM’s assumption of a single risk factor explaining expected returns has been called into question.
These critiques are in many ways interrelated; improvements in any one of these areas are bound to have an effect on others. Because the predictive and explanatory power of the CAPM is bound by the structure of the model, it is the assumption of a single risk factor which has spurred much recent academic research into security price analysis.