with Nikolay Gospodinov, 2021, Journal of Financial Economics, forthcoming. [Paper] [Online Appendix] [Code and Data] [Additional Material]. Intermediary and downside risk asset pricing theories lay the foundations for spanning the multi-asset return space by a small number of risk factors. Recent studies document strong empirical support for such factors across major asset classes. We revisit these results and show that robust evidence for common factor pricing remains elusive. Importantly, the proposed risk factors do not seem to provide incremental information to the traditional market factor. We argue that most of the economic and statistical challenges are not specific to these analyses and, with the aid of a placebo test, offer general recommendations for improving empirical tests, thus adding to the prescriptions in Lewellen, Nagel, and Shanken (2010).