The article explores different ways to improve a financial model called the CAPM to better understand US stock returns. They looked at factors like changing risk levels, different types of risks, and how risk premiums change over time. The traditional CAPM didn't fully explain stock returns, but adding in some new elements did help. They found that using dynamic correlations and considering different types of risks can give a better picture of how stocks perform. Overall, the updated models showed that small stocks tend to earn higher returns, even when considering different types of risks.