Multi-factor asset pricing models are built to cover up for the return explanations missed by the beta sensitivity of market portfolios.By picking up on the return variations missed by beta sensitivity,these correctional factors provide a suitable solution to gauge expected returns under standardized risk-return frame-work of modern portfolio theory.The ease of their practical applicability make them a superior choice when compared to alternate asset-pricing models（APT,ICAPM and CCAPM）,which although are substantially more sophisticated in their theoretical aspects with more realistic assumptions but suffer for their empirical validation,let alone their practical applicability.However,multi-factor asset pricing models possess their own limitations mainly in regards to crude factor building process that relies heavily on non-systematic variables as proxies of systematic risk.This gave rise to the discoveries of an ever increasing number of unexplained anomalies in asset pricing literature that lead to more correctional factors and multiple iterations of factor combinations as alternative explanatory models.While each main-stream factor model provides a theoretical explanation for their factors combination and empirically justify it under a variety of performance tests,multi-factor asset pricing literature lacks a coherent foundational frame-work to choose an ideal combination of factors under the multitude of performance metrics.This research gap is sometimes settled down purely on theoretical grounds to exclude anomaly driven factors instead of empirical objectivity.The research work presented in this thesis strides to bridge this gap by applying a set of empirical motivated procedures（named “Unifying Frame-Work” for referencing）.It introduces a dimensional return variation perspective in which factors can be grouped into clusters with regards to their direction of return explanations.By applying a series systematic tests to identify the most potent factor in each return dimension under Unified Frame-Work mechanism,this research suggests an empirical methodology to build an ideal factors combination for a multi-factor asset pricing model.The “Unified Model” presented in thesis,is a suggestive five factor combination model,put together after extensive empirical validation of the processes involved in unifying frame-work.The model not only shows a superior performance under a multitude of test-asset and non-test asset performance metrics,when compared to other main-stream multi-factor models.Is also proves to be a competitively performing or superior with any other five or six factor combinations that are included in this analysis（This is presented as empirical proof to dimensional return variation approach touted under unified frame-work mechanism）.This research also introduces three theoretically motivated experimental factors.Building a factor by ranking firms on their change in debt levels,it shows that debt related return variations are unique and consistent in their own regard and are largely unexplained by any factor or a combination of factors in main-stream asset pricing models.Capital expenditure factor is built on the premise of an alternate measure of firm level investment activity that can delimit the effects of buyer’s over/under reaction,earns an average return of 0.1% and is characteristically different from a standard investment factor,hinting market inefficiency to be cause of investment related return variations.Lastly,a factor built on change in equity levels（Equity factor）proves that equity level return variations form are major component of return variations associated with standard investment factor.By subjecting these three factors to the same scrutiny of unified framework mechanisms as well,there is substantial evidence that debt level return variations are unique in their own right and have essential explanatory powers uncaptured by any other main-stream model or factor.In addition,capital expenditure based factor is well explained by unified model factor combinations making it an unnecessary factor in the presence of unified factors combination,while equity factor does not offer any additional explanatory advantage over a standard investment factor built by ranking firms on their change in total assets.