The capital Asset Pricing Model (CAPM) has become the centerpiece of financial education. Unfortunately its empirical record is poor mainly because of risk factors distinct from traditional betas. Among them size and value are the two major (but not the only) ones. They can be explained by assuming that investors don't behave rationally. They can be accounted for by adding them to the traditional CAPM (like in the "three factor model"). A more rigorous approach would be to develop a behavioral CAPM
AFTALION, F. (2005). Le MEDAF et la finance comportementale. Revue Française de Gestion, pp. 203-214.