approaches, such as linear factor models, practitioners as well as academics repeatedly return to the milestone models such as … the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk …-return relationship by comparing the power of traditional and alternative asset pricing models in explaining the cross-section of asset …

from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain … can explain the cross-section of property/liability insurance-stock returns better than competing models. The priced …