International Research Journal of Finance and Economics ISSN 1450-2887 Issue 99 October, 2012 © EuroJournals Publishing, Inc. 2012 http://www.internationalresearchjournaloffinanceandeconomics.com Additional Risk Factors that can be used to Explain more Anomalies: Evidence from Emerging Market Mona Al-Mwalla Associate Professor, Department of Banking & Finance Faculty of Economics & Administrative Sciences Yarmouk University, Irbid-Jordan E-mail: malmwalla@yu.edu.jo Kamal A. M. Al-Qudah Associate Professor, Dean, Faculty of Business and Finance American University of Madaba E-mail: k.qudah@aum.edu.jo Mahmoud Karasneh Part time Instructor, Department of Banking & Finance Faculty of Economics & Administrative Sciences Yarmouk University, Irbid-Jordan E-mail: Karasneh 87@yahoo.com Abstract This study aims to identify additional risk factors that can provide a better explanation to the variation in stocks’ rate of return. Using monthly data for the period from July 2002 to June 2010 for a sample of listed companies traded in Amman Stock Exchange (ASE). This study introduces risk factor, such as Momentum, distress and leverage to investigate their effect on the explanatory power of the original model that was introduced by Fama & French three Factor Model, and which has been tested by (Almwalla and Karasneh 1 ) using data from Amman Stock Exchange. The study observes the existence of the size, value, Momentum, distress and leverage effects in the Jordanian Market. Adding the Momentum, distress and leverage risk factors did not improve the explanatory power for the three factor model. Keywords: Asset Pricing Model, Markets anomalies, Momentum effect, distress effect, and leverage effect. 1. Introduction Sharp(1964) introduces the CAPM, as a new way of selecting securities and assets using the underlying assumption of Markowitz model and the single index model. A according to Sharp, rational investors are those who set a balance between risk and return and always prefer to be in the safe side, but if faced by risk, they try to diversify in order to mitigate risk. The main assumption of the CAPM is that, if all investors use Markowitz framework, they will seek portfolios located in the efficient frontier.