Extension of CAPM: R_i - r_f = α_i + β_i,MKT(R_m - r_f) + β_i,SMB,SMB + β_i,HML,HML + varepsilon_i, where SMB is small-minus-big (size) and HML is high-minus-low book-to-market (value). The five-factor extension (2015) adds RMW (robust-minus-weak profitability) and CMA (conservative-minus-aggressive investment), absorbing much of the value premium; Carhart (1997) prepended momentum (UMD).