The purpose of this study is critically analysis review of literature of “An Empirical Testing of Multifactor Assets Pricing Models”. The Asset Pricing Model uses to finding average return and show relationship between expected return and risk on securities and stock. The Capital Asset Pricing Model (CAPM) has been long used by academics, financial analyst and practitioners to explain the relationship between risk and expected returns of an asset. This model takes into account only one risk factor which is the excess market portfolio return (Market premium). After that Ross, Eugene F. Fama and Kenneth R French and others had developed the different model of assets pricing as a response to poor performance of the CAPM in explaining realized returns. Eugene F. Fama and Kenneth R French had given three-factor model takes into account market risk premium, size premium and value premium. In 2014, Fama and Kenneth R French had given five-factor model takes into account market risk premium, size premium, value premium, difference between on robust profitability and week profitability and difference between the conservative investment and aggressive investment.