Have there been any studies that question the validity of the CAPM? Explain.
CAPM's only factor for determining the required returns of individual stocks is beta.
Eugene Fama and Kenneth French found that returns are dependent not only on beta, but on factors such as firm size and book-to-market ratio.
Yes, there have been studies that question the validity of CAPM such as multivariable models and studies by Eugene Fama of University of Chicago and Kenneth French of Dartmouth.