The researchers developed a new model to test how well the capital asset pricing model works in real life. They used a method that allows for changes in assets' risk levels over time and considers how different assets can be affected by the same factors. By analyzing a large set of data all at once, they found a more efficient way to estimate these risk levels. They also created a new test to check if the model's predictions match actual market data. When they applied their model to real investment portfolios, they found that it provided better insights into how assets are priced in the market.