We compare prominent factor models from Behavioral finance (Daniel, Hirshleifer, and Sun, 2020; Stambaugh and Yuan, 2017) and Neoclassical finance (Sharpe, 1964 and Lintner, 1965; Fama and French, 1993, 2015, 2018; Hou et al., 2020; Hou, Xue, and Zhang, 2015) on the four regions North America, Europe, Asia...